Comments left by Blogger members will have their names linked to their profiles. Anonymous comments, or comments left as "Other" but without a URL specified, will be unlinked. If someone comments as "Other" and specifies a URL, that will be the destination of the link.
Here's the code you need to get this in your blog:
Copy that into the sidebar area of your template (or wherever you'd like it to display), then save and republish and you should be all set. Read on for a quick walk-through of the code.