How do I link mylyn with Bugzilla?

It works like this (if mylyn is installed):

In the editor, comments that include text of the form bug#123 or task#123 or bug 123 will be hyperlinked. Ctrl+click on this text will open the task or bug in the rich task editor.

To support hyperlinks within other text editors such as code or .txt files, the project that contains the file must be associated with a particular task repository. This is configured by right-clicking on the project and navigating to Properties > Task Repository and selecting the task repository used when working with this project.