It all depends upon the directory you are submitting the article to. Most directories don't allow you to have a live link to your website in the article body, however there are a few that do allow it. Where they do allow live links is in the resource box. Some websites require the link to be in the http://mywebsite.com format, and other directories will allow you to have the live link in a word format, such as this is my website. You will get more bang for your buck on directories that allow you to have the second type of link. Some directories will even allow you to have 2 or 3 links in your resource box.

For more info on writing resource boxes, this is a great resource:
creating powerful articles.