Witto just gave you the code to write a HyperLink, here's is it in Short:
 Code:
Dim $objWord, $objDoc, $objSelection, $objLink
$objWord = CreateObject("Word.Application")
$objWord.Visible = 0
$objDoc = $objWord.Documents.Add
$objSelection = $objWord.Selection
$objSelection.TypeText(@SITE)
$objSelection.TypeParagraph
$objLink = $objSelection.Hyperlinks.Add($objSelection.Range,"http://www.google.nl",, "Google", "Google Home Page")
$objSelection.TypeParagraph
$objDoc.SaveAs("C:\test.doc")
$objDoc.Close
$objWord.Application.Quit
$objWord = ""