Select the course you'd like to edit.
Click 'Edit Course' to start editing course contents.
Once you've done that you'll arrive at the course creation page which looks like this:
Open your lesson text for editing.
Enter a text into the content editing area and select an anchor text.
Click on the link icon.
Enter the link in to the input, then click 'Save'.
You'll see a link created on the anchor text.
Click 'Save' to permanently store your changes.