Since I didn't find anything on this topic via Google...

Just a quick "how to" on setting links in Microsoft Word programmatically (in this case, C#):

public void CheckRuntime() {
    object reference = null;

    try {
        reference = Marshal.GetActiveObject("Word.Application");
    }
    catch (COMException) {
        System.Console.Out.WriteLine("No instances found...");
    }

    if (reference != null) {
        try {
            System.Console.Out.WriteLine("Found running instance!");

            ApplicationClass wordRuntime = (ApplicationClass)reference;

            System.Text.StringBuilder buffer = new StringBuilder();
            foreach (Document document in wordRuntime.Documents) {
                buffer.AppendFormat("{0}|", document.Name);

                if (wordRuntime.Selection != null) {
                    System.Console.Out.WriteLine("Selected text: \"{0}\"",
                        wordRuntime.Selection.Text);

                    object optional = Missing.Value;
                    object url = "http://www.google.com/";

                    if(wordRuntime.Selection.Hyperlinks.Count == 0) {
                        wordRuntime.Selection.Hyperlinks._Add(
                            wordRuntime.Selection.Range,
                            ref url,
                            ref optional
                        );
                    }
                }
            }

            System.Console.Out.WriteLine(
                string.Format("Currently open documents are: {0}",
                buffer.ToString().Trim('|'))
            );
        }
        finally {
            Marshal.ReleaseComObject(reference);
        }
    }
}

The code is wrapped in a function call I'm using for testing. The key part of this is detecting the currently selected text and using the ApplicationClass.Selection and then invoking _Add. The method takes three parameters. Make sure that your first parameter is a Range class instance, your second parameter is passed by reference, and your third parameter (the SubAddress) is set to System.Reflection.Missing.Value.

This should set the text point to any input URL.