FWIW, the previous discussion in this thread has been predicated on a mailmerge outputting hyperlink string as <a href...></a> tagged text. The underlying assumption seems to have been that Word can't generate mailmerge hyperlinks with: (a) different targets; (b) different targets from their display text; and/or (c) a different display text for each hyperlink. For a mailmerge outputting its results to a document, neither of the first two assumptions is valid for any Word version and third isn't valid for Word 2007 & later. The assumption may valid be for emails (I haven't tested it) and doesn't apply for merges to print.

By default, if you insert a mailmerge field into a hyperlink field, the hyperlinks will all show the first record’s address as the 'Text to display' text, which is terribly useful when different hyperlink addresses are involved. That may be where the first two assumed limitations come from. Here's how you can do get a mailmerge to display your preferred default 'Text to display' text instead:
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. Select the field and press F9 to update the display.

In Word 2007 & later, you can make the display text variable also, by following these additional steps:
5. Position the cursor anywhere within the display text.
6. Insert a mergefield pointing to whatever data field you want to use for the display text (this could even be the same field as used at step 3 above).
7. Delete all of the previous display text either side of your last-inserted mergefield (note that this field will likely have updated already).
8. Execute the merge.
9. After merging to a new document, use Ctrl-A, F9 to update all fields. Without this, the mergefield hover text won’t update to the correct targets.
None of the above requires a macro to implement.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]