Not a dumb question at all.

To make a backlink from your comment, you have to leave both a name and a website.

Sometimes the website will automatically take your name and turn it into a link to the website you entered. Sometimes, it will not.

The best way to see if your comment will be made into a link is to look at other comments on the blog and see if any of them are links. If you see any that are links, then you can be sure that your comment will become a backlink as well. If not, then chances are you will not get a backlink from it.

Also, it's good to use a toolbar such as SEOquake or SEOmoz to see if the links are dofollow are nofollow. Typically nofollow links are less desirable, although there is some evidence that they may still help with SEO.

Hope this helps.