Unfortunately, it is impossible to use Text Link in regular messages. Link text formatting is allowed only in Embeds sent by bots.
However, you can use link shorteners to make your links more beautiful. For example, a long link https://discord.onl/2019/01/24/how-to-create-a-discord-account/ can turn into https://bit.ly/35gW2w5.
We hope in the future Discord will add the ability to create custom links in its markdown.