This is how it works in Outlook 2007 - hope it is valid for Outlook 2010 also.
- Click "New" to start a new email message
- Click the Office Orb (top left)
- Click on "Editor Options" (bottom right)
- Click "Proofing"
- Click "AutoCorrect Options..."
- Under "Replace", ensure that "Internet and network paths with hyperlinks" is checked
- When you type a link into your plain text email, make sure you hit Space or Enter after the link to force it to go hot
However, in my experience, links in plain text emails do have a habit of sometimes going cold again when the message is sent, and I haven't found a fix for that - I assume it is something to do with the recipient's setup.
Anyway, hope this helps