Simply find the thread to which you want to link, right-click on the link, select "Copy Shortcut", and paste it into your message body.  For example, here's a thread about this very topic:  http://theeroticreview.com/msgBoard/viewmsg.asp?MessageID=55262&boardID=12&page=1

To add to previous information, when you are viewing any page on a website or any message here, right-click on the page and then select "Properties".  You will most likely see a section that shows "Address (URL)" starting with http.  Highlight the entire address, then right-click, then select "Copy".  You can now "paste" the link into your message.