The reason the second link appears that way is because you are copying it from the address bar while you are editing your shop. That is the editing link, not the shop link. Your shop link is http://www.cafepress.com/chicagochic
You are not allowed to use html in basic shops but you can put a link in just by using the full address, including the http:// part. The system will make it a link. You may also want to activate your shop keeper bio as that will list all your shops where you show that bio. Don't forget the step of selecting which shops should show the bio.