It was a little too quick and a little too dirty!
This is easier:
$var = "<link>www.sportsshooter.com</link>";
$var2 = ereg_replace("<link>(.+)</link>", "<a href=\"http://\1\">\1</a>", $var);
However, look in to the regular expressions on this site...they will help you a lot. Also check out preg_replace...it is sometimes a bit faster.
-- Jason