According to the information you provided, please refer to this article, Error message when selecting hyperlink in Office: "Cannot locate the Internet server or proxy server".
You may add the Internet Subkey to the registry and set the Value data to check this issue.
Such as for a 64-bit version of Office on a 64-bit version of Windows:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Office\9.0\Common\Internet
Type: DWORD
Name: ForceShellExecute
Value Data: 1
Please note, serious problems might occur if you modify the registry incorrectly. Before you modify it, back up the registry for restoration in case problems occur.
Any updates, please let me know.
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