In Outlook Express, type the URL name (i.e. HERE), highlight it, then click the Hyperlink button next to the Insert Image button. Type in you URL, and it will be created as a 'HERE' type hyperlink.
In 2003, it only inserts the link, at least on my setup, and only from the menu, no keyboard shortcut. I usually just type or cut'n'paste, therefore. That's with Outlook as the HTML editor, it may be different if Word is used.
With Outlook as the HTML Editor, it's the same as OE, Rik, and you can either use Insert > Hyperlink, or drag the Insert > Hyperlink icon from the Add or Remove Buttons menu, to the toolbar. With Word as the editor, it works the same way, but you are given the option to create a Hyperlink from scratch, in a similar way to the board software.