Hi njcloud,
For your purposes, you can dispense with the <a href...></a> tags and use Word's HYPERLINK field instead. No macros required.
As you've already discovered, one of the limitations of mailmerging hyperlink addresses is that they’re ordinarily rendered as plain text in the output document. You can overcome that by embedding the MERGEFIELD inside a HYPERLINK field. There is a catch, however; unless you create the HYPERLINK field with a 'Click Here' kind of display text, all the merged fields will display the first link’s address as the HYPERLINK field’s display text.
Here's how to insert a HYPERLINK field with a 'Click Here' prompt into a mailmerge:
1. Disregarding mergefield issues for the moment, insert a hyperlink into the document in the normal way, choosing whatever 'Click Here' text you want in the 'Text to display' box.
2. Select the inserted hyperlink and press Shift-F9 to expose its field code
3. Replace everything in the field after 'HYPERLINK' with your mergefield.
4. Run your mailmerge.