Try this code
Code:
Sub MakeMyLink()
Dim aRng As Range, sFound() As String, sLink As String, sText As String
Set aRng = ActiveDocument.Range
With aRng.Find
.Text = "\<\<(*)\>\>\<\<(*)\>\>"
.MatchWildcards = True
.Replacement.Text = "\1|\2"
Do While .Execute
sFound = Split(aRng.Text, ">><<")
sLink = Replace(sFound(0), "<<", "")
sText = Replace(sFound(1), ">>", "")
ActiveDocument.Hyperlinks.Add Anchor:=aRng, Address:=sLink, TextToDisplay:=sText
aRng.Collapse Direction:=wdCollapseEnd
Loop
End With
End Sub