Search for the video you want to link to on You Tube, Rose and copy the URL from the address bar (to copy, right click on the address/URL so that it is hightlighted blue and select 'copy' from the right-click menu) - see pic

Open the 'reply to message' box and click on the 'insert video icon' as arrowed in this pic

A pop up box will open - paste the URL into the box (right-click in the box and select paste from the menu)

Click 'preview' and then click on 'insert video' this will take you back to the reply to message box and then just click on 'post' as normal

Have a play around with it.. we promise not to laugh if you do it wrong LOL