You could do this with a macro e.g.
Code:
Sub ReplaceHTMLLinks()
Dim oRng As Range
Dim sLink As String
Dim sAddr As String
Dim sDisplay As String
Dim vLink As Variant
Set oRng = ActiveDocument.Range
With oRng.Find
Do While .Execute(FindText:="\<a href=*\<\/a\>", MatchWildcards:=True)
sLink = oRng.Text
vLink = Split(sLink, Chr(34))
sAddr = vLink(1)
sDisplay = Replace(Mid(sLink, InStr(1, sLink, ">") + 2), " </a>", "")
oRng.Text = ""
oRng.Hyperlinks.Add Anchor:=oRng, _
Address:=sAddr, _
TextToDisplay:=sDisplay
oRng.Collapse 0
Loop
End With
End Sub