I assume you are talking about a hyperlink in an excel document. You can make a macro in vba and put the name of the macro in the hyperlink where the link address would normally go. The macro will be fired when you hover the mouse pointer over the link.
=IFERROR(HYPERLINK(MyMouseOverEvent(),"Click here"), "Click here")

I don't know why you'd assume a question about intercepting hyperlinks via VBA in a Word VBA forum on a board that also has an Excel Programming forum has anything to do with Excel or that an Excel formula would be appropriate...

As it is, Word has no hyperlink event to trap. Consequently, anything that might be done in that regard (if possible) would probably have to be done through the Windows API.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]