A family of Microsoft word processing software products for creating web, email, and print documents.
In the AutoCorrect dialog box, make sure that "Internet and network paths with hyperlinks" is selected under "Replace as you type" (you'll find the option on the AutoFormat As You Type tab).
To display the dialog box: Click the Office button, and then click Word Options. In the Proofing category, click the AutoCorrect Options button.
[Edit: corrected a typo]