Your username here is linked to your blog. Check under users > your profile, under contact info and make sure that your blog URL is in the website field.
Your username will only link to your blog automatically if you are logged in to wordpress, and if you are commenting on a blog which is hosted here at WordPress.com. You can tell if you are on a WordPress.com blog because the blue bar with My Account, My Dashboard, etc. will be at the top of your screen.
If you are not on a WordPress.com blog, when you fill out the contact information when making a comment, make sure and put in the URL of your blog. If you do not, then your name will not be linked to your blog in that comment.