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](https://meta.stackexchange.com/questions/3122/formatting-sandbox)