You can't.
Comments don't have the same formatting structure as answers. You can make links using [text](url) &, you can bold &/or italic using asterisks and use code backticks, but that's about it.
This links to the entirety of the format spec for comments - https://meta.stackoverflow.com/editing-help#comment-formatting
If you want to play with formatting, there's a sandbox on Meta Stack Exchange - Formatting Sandbox