By default URLs are converted to plain text when sent through an IM in OCS 2007 R2. This is a part of the ‘Intelligent IM Filtering’ function of OCS which is designed to prevent the spread of viruses though IM.
If this behaviour is something you want to modify, there are quite granular settings which can be configured. For example, you can change if URLs are converted, insert a warning when a URL is sent, specify which URL prefixes are allowed or even turn off URL filtering completely.
To change these settings, access the Intelligent IM Filter settings, by right-clicking the pool name, and select Filtering Tools and Intelligent Instant Message Filter.