Word automatically turns a web address into a link when you press Spacebar or Enter, if you typed "http://" at the beginning.
If you want to link from "friendly text" in your document, the fastest way is to start by copying the address to the clipboard:
Copy the address from your browser's address bar.
Go to your document in Word, and select the text that you want to be the link.
Paste the address and press Enter.
Later, if you want to change the link, right-click it and choose Edit Hyperlink.
Follow links while editing
While you're editing your document, clicking a link lets you edit its display text (friendly text). To follow a link, press Ctrl+Click.
Tip: If you'd rather follow links just by clicking them, Go to File > Options > Advanced and clear the Use Ctrl+Click to follow hyperlink check box.