^^Well, I don't know what your Xanga URL is, so I'll just show you what the link you make should resemble. You'll be able to tell what you to do after you see it. <--see attachment-->
Also, it's just like what EvilSporkofDoom was saying. I'll give some visuals:
Click on that icon, and a window will come out. First you put in the text you want showing up, so that would be "Shao's Xanga" in this case. Then, when press OK, another window will come out, and you'll put the URL in there. ^^ Good luck.