I want to know how to link a website. For example: lbp.me/u/TheMegoLego888 . How exactly does that convert into a clickable link?

you have to copy and paste the url, then it should be clickable

This thing
http://www.littlebigforum.eu/forum/download/images/f37t2537p23187n2-thumb.jpg

Ok JellyBellyScout is right. You're going to copy/paste your address but you can also click on the LittleBigForum editor the URL button.
With this handy little tool you can do all sort of things like:
So here's a normal copy pasted link:
lbp.me/u/GooeyGhost
It isn't linked because you didn't copy the whole link like this:
https://lbp.me/u/GooeyGhost
See it's automatically linked because I included the 'https:'

Now this is a link set-up with the URL tool:
GooeyGhost
I renamed my URL so it looks better. You can change it to whatever you want and with this you can use your link on titles, pictures, etc.

I hope this helps you out. It took me a while to get the hang of the forum at the beginning but soon enough you'll be considered a post master!
Cheers!