Put the cursor in the first line of the link text and run the following to hyperlink that text.
Code:
Sub Macro1()
Dim oRng As Range
Dim sLink As String
Selection.HomeKey
Set oRng = Selection.Range
oRng.MoveEndUntil Chr(11)
sLink = oRng.Text
oRng.Hyperlinks.Add oRng, sLink
End Sub