When you type the web address (e.g. www.somewhere.com) Word should
automatically convert them to links. If it doesn't click on the Insert
hyperlink button (looks like a world with a sideways chain link underneath
it), click on the Exisiting File or Webpage click on the World with the
magnifying glass icon to browse to the webpage whose link you want to enter.
Click back to Word and the address of the website you were just looking at
should now be in the address line of the Hyperlink box and then click on OK.