Here's how I would explain it. It can be done quicker/easier, I'm sure, but for simplicity's sake...
1. Open both threads in separate browser tabs/windows
2. Copy the url (as noted above) from the thread you wish to redirect/link to
3. Go to the thread you wish to redirect/link from
4. In either the Quick Reply or Advanced Reply windows, click on the little Insert Link icon (as noted above, the globe/chain icon)
5. Paste the copied url into the popup dialog
6. Click "OK" to insert the link into your post