(Your image is OK, and probably the sample post OK for now, but use example.com as I have below for code samples. The reason is when you delete this sample post, Webmasterworld now has a dead link. Bad Mojo.) Try using the HTML tab in the ^%&%^&%$^& rich text editor. I hate those things . . . it's possibly that mucking up your links. Wordpress is really funky this way.
If it's your first image that is the problem, there is something in WP that is mucking up the works. I can't say what that something is, I've never had an internal link go missing in WP. It could be some anti-spam plugin or something, who knows. Maybe all you need to do, since any user is already on your site, is just link to the resource without the URL:
<a href="/yesterdays-post">as I said yesterday</a>,
Looking at your second image, I can explain (more or less) what's up. You are relying on the rich text editor, and for whatever reason it's not "converting" your link. To do it in the RTE, use the icon above that says "Insert link" (or similar) when you hover over it.
To really grab the bull by the horns, click that HTML tab. Let's have a look at what your sample post outputs:
<p><a href="http://yahoo.com">Yahoo</a></p>
<p>http://example.com</p>
See that? There's no link around it, which tells me you probably just entered the URL as plain text in the WP post box instead of using the insert link tool. So in the HTML tab of your post edit, you should see this:
<p><a href="http://yahoo.com">Yahoo</a></p>
<p>
<a href="http://example.com">This is a link to my site
</a></p>
(Without the bold of course . . . ) If this is not what you see, make it so.
