Here is the same one but added Email link as well, in case you were wondering:
 Code:
Dim $objWord, $objDoc, $objSelection, $objLink
$objWord = CreateObject("Word.Application")
$objWord.Visible = 0
$objDoc = $objWord.Documents.Add
$objSelection = $objWord.Selection
$objLink = $objSelection.Hyperlinks.Add($objSelection.Range,"http://www.google.nl",,"Google Home Page", "Google Link")
$objSelection.TypeParagraph
$objSelection.TypeParagraph
$objLink = $objSelection.Hyperlinks.Add($objSelection.Range,"mailto:mail@@gmail.com",,"Google E-mail", "Google E-Mail")
$objDoc.SaveAs("C:\test.doc")
$objDoc.Close
$objWord.Application.Quit
$objWord = ""