I found this very much handy, interesting and easy to use..
1. Open a Microsoft Word document.
2. Select text that you want to appear as a hyperlink.
3. Click the "Insert" tab. Click "Links." Select "Hyperlink."
4. Select the type of link you want to create. To link to a webpage or other file, select "Existing File or Webpage." You also can choose to link to an email address, place in the document or a new file you haven't created yet.
5. Type the address or file name you want to link to in the "Address" field. Click "OK." The hyperlink appears in the document with a blue underline.
6. Save the Word document.
7. Convert the file to PDF by clicking the "Microsoft Office Button." Scroll to "Save as." Click "PDF or XPS."
Please note: If you are unable to see this option, please install the add-in from the following link.
8. Type a new name for the file. Select "PDF" in the "Save as Type" field.
9. Select "Open File After Publishing" to immediately view the document. Click "Publish."
10. View the document in a PDF reader, such as Adobe Reader.
You should see your underlined hyperlinks. Click one to test it.