Firefox (3.6) copies only the linktext into the mail, however I do it. It's just text, like I typed it myself. But Thunderbird is smart enough to recognize it as a web-address and make it a link as soon as I sent it. Both in my Sent Items and in the mail as I receive it when sent to myself, it has become a link.
So my guess is that Thunderbird is smarter than Windows Live Mail. It makes some sense. Firefox doesn't know if the mail will be sent in plain text format or in html-format. So it chooses the safe side: only put text into the email, no hyperlinks, no fonts, no pics, no colors, nothing except plain text as you type it on the keyboard. Then, when the mail program finds out it becomes an html-mail it makes it a link.
This is more an issue of your mail program then it is an issue of your browser, I think.