EmailMerge version 3.x and EmailMerge version 2.x supports URL.
For EmailMerge version 1.x try the following:
1. Type in the URL
2. Add a few extra characters at the end
3. Press space bar (this will change the text into a link)
4. Place the cursor at the beginning of these extra characters that you have just added
5. Insert the m-field (at the current position, that is, between your URL and the extra characters you just added)
6. Delete the extra characters that you added
Do the E-mail merge again. This will show a clickable link in the received e-mail.