When you insert a URL into a message, you want your reader to have an active/clickable URL. "Clickable" means that the recipient can click on the link to automatically open a browser and view the page.
Enclose the URL with angle brackets viz: <http://www.entourage.mvps.org/> so that if the URL wraps over more than one line, it will still work when it gets there. Don't forget to format with the http:// prefix.
Enclosing URL in angle brackets: Leonard Rosenthal explains, "technically, brackets are part of the URL format specification (RFC 1738) and are used to differentiate URL's from other things around them." And, "the <>'s help the mail client (or whatever) to find the true start & end of the URL and ignore the line break as the start/end of URL." When you don't enclose in angle brackets URL's longer than 80 characters can be broken. One exception is AOL's proprietary email client. Your http or mailto addresses won't be clickable for AOL members unless they're enclosed in an anchor tag and formatted properly in HTML.
See article Links for AOL users for instruction on how to create properly formatted links in HTML.
My URLs aren't blue. When you add a URL in the compose window it just doesn't seem clickable, but it is. To test it, make a new message with a url in the message field. Save it as a draft, then you will see that it sends with an active/clickable URL. If you use a URL in a sentence, most E-mail clients do not know where the URL ends and trailing punctuation (i.e., periods, question marks, and commas) begins. Using < and > around the URL avoids this problem.
Note: Sometimes web addresses appear to be clickable, but clicking is unresponsive. Just Command-click the URL to open it in your default browser.
The easy way to insert a URL into a message is to use one of the free scripts that are available on Scriptbuilders. These scripts are used to insert URLs of pages open your web browser into mail & news messages in Microsoft Entourage. URLs are enclosed in <>.
Be sure to assign a shortcut to the script for easy use.
If you drag a URL into a message window, you can use a script that will enclose the highlighted URL in brackets. You can download the script or copy the script into Apple's Script Editor. You can easily modify this script to enclose text in quotes or parenthesis.
tell application "Microsoft Entourage"
try
set theSelection to selection
if class of theSelection ≠ Unicode text then error -128
if class of window 1 is not in {draft window, draft news window} then error -128
on error
beep
display dialog "Select some text in a draft window before running this script!" buttons {"Abort"} default button 1 with icon stop
return
end try
set selection to "<" & theSelection & ">"
end tell
Another time saver is AutoPairs: AutoPairs is a preference pane (Universal Binary and freeware) that modifies the behavior of certain keystrokes, to help you keep paired characters such as parentheses properly matched. For instance, when you type a left parenthesis, AutoPairs will type the right parenthesis and a left arrow for you, so that you are read to type what goes between the parentheses. This and other pair macros can be turned on and off individually.

Comments (2)
this answer doesn't address my problem. i want to insert an email address in my email message and have it "clickable" in order to open a new email.
Are you asking how to make words be clickable with the URL hidden? If this is what you want, you have to use a script. This is not a function in Entourage.
Make Hyperlinks By: Paul Berkowitz
This script makes proper hyperlinks (live underlined words in ordinary text that open linked web pages) in Entourage messages. It guarantees clickable hyperlinks in HTML messages even when received in Outlook Windows.
Otherwise, enclose the URL in brackets and it works just like the link explained.