Now I understand. As a newbie, I didn't realize that the Blogger editing interface for posting comments is different from the editing interface for posting blogs.
(I seem to have a knack for instantly using exceptional features of software (and other) products and running smack into confusion. I used to get paid to do this, but it's something I can't turn off. It's my unique brand of geekiness, haunting me day and night.)
So, because my first attempt at linking was in a comment, not in a blog (the way the designers expect "normal" novices to start, I guess), I was dismayed, and publicly too. It's a relief to discover that putting a link in posts works the way I would expect it to. (I expected the comments-editing window to have that cute little toolbar at the top too).
Many thanks to The Lioness, Uge, and Elswhere for your earnest efforts to help.