<a href="your url, quotes included">your title for it</a>
<a href="http://www.nefafoundation.org/video/foreignfighters.wmv">http://www.nefafoundation.org/video/foreignfighters.wmv</a>
So my "title" for the link was the url itself (so people could see where the link was leading them). But it could just as easily have been something like: Video #1.
In which case it would've appeared on the page as:
etc.