You can use a HYPERLINK field. For example:
{ HYPERLINK "C:\\My Documents\\filename.doc" }
or
{ HYPERLINK "
http://www.microsoft.com" }.
Press Ctrl+Shift+* to toggle on display of non-printing characters. Press
Alt+F9 to toggle on display of field codes. Press Ctrl+F9 to insert the
field braces. Type the desired hyperlink between the braces. Press Alt+F9
to toggle off display of field codes. Press Ctrl+Shift+* to toggle off
display of non-printing characters.