Often I see comments on articles, games, etc, That will have another member tagged in it with said member's screen name as a link, how is this done?

You mean like this soothsayer8 ?

yes, Kohai! exactly!

Just cut-and-paste (which also gives you the mouse-over functionality):

soothsayer8

kohai

Or highlight the text you want to hyperlink and click the hyperlink icon:

testing: TheGrobe

Oh, sweet! but mine looks different from yours. What exactly does this do? Can it alert the member that they've been referenced in a comment somewhere, or does it just serve as a link to that person's profile?

No -- just a link.

link only.

Ok, thanks guys!