You can edit comments from the Comments heading on the Dashboard menu. This includes the ability to edit or remove the commenter's linked URL: http://en.support.wordpress.com/manage-comments/#editing-a-comment
However, it is common courtesy not to delete that link, as one of the ways people can discover new blogs is by clicking on the usernames of commenters and by deleting those links you are "rewarding" people for commenting by taking the opportunity away from them to gain traffic to their own sites.
Rather follow the links themselves and find out who they are. If the link leads to a spammy site rather than an actual blog, chances are you actually have a spam comment that's trying to disguise itself as a real comment. In that case, just mark the entire comment as spam and carry on.