Press Ctrl+A to select all text.

Press Ctrl+Shift+F9

That works in Word 2007 - try it in your version.

For the Whatisahyperlink questioners

In Word, if you write or paste the full URL (=web address including http://) and follow it with a space or CR (enter) Word will create the hyperlink. If that annoys you there is a button somewhere, I am told, to stop it doing that. But press Cntrl-Z immediately & it will remove the last auto-generated hyperlink.

Cntrl-Z is the generic Undo keyboard shortcut.