When pasting a web URL into a chat window it does not create a hyperlink by default. You need to click the "A" button and then paste the text. By default when pasting a hyperlink; for example, http://microsoft.com it should create the hyperlink as this is how almost every other application works, including Skype.
Matthew Carter commented
I found that when I go to add a link \\server\folder and subfolder\ the \\server\folder is made a hyperlink yet I can't "remove link" and start again NOR can I copy the full item and make it all a hyperlink.
Simple things that should have the code in other products!
Kaushal Todi commented
This works for me Shane..