The ability to track a link in an email message is handled automatically when you send the message out in HTML format to your mailing list(s). If you are sending a text-only campaign, links are not tracked.
If you are sending a test email to an individual address, links are not tracked. If you want to test your tracking links, set up a mailing list with your test email address in it and mail the test to this list before sending it out to your full mailing list.