Sub HLnk2FtNt()
Application.ScreenUpdating = False
Dim strFolder As String, strFile As String, strDocNm As String
Dim wdDoc As Document, h As Long, Rng As Range
strDocNm = ActiveDocument.FullName
strFolder = GetFolder
If strFolder = "" Then Exit Sub
strFile = Dir(strFolder & "\*.doc", vbNormal)
While strFile <> ""
  If strFolder & "\" & strFile <> strDocNm Then
    Set wdDoc = Documents.Open(FileName:=strFolder & "\" & strFile, _
      AddToRecentFiles:=False, Visible:=False)
    With wdDoc
      For h = .Hyperlinks.Count To 1 Step -1
        With .Hyperlinks(h)
          Set Rng = .Range
          With Rng
            .Collapse wdCollapseEnd
            .Footnotes.Add Rng
            .End = .End + 1
          End With
          Rng.Footnotes(1).Range.FormattedText = .Range.FormattedText
          .Range.Text = vbNullString
        End With
      Next
      .Close SaveChanges:=True
    End With
  End If
  strFile = Dir()
Wend
Set wdDoc = Nothing
Application.ScreenUpdating = True
End Sub

Function GetFolder() As String
Dim oFolder As Object
GetFolder = ""
Set oFolder = CreateObject("Shell.Application").BrowseForFolder(0, "Choose a folder", 0)
If (Not oFolder Is Nothing) Then GetFolder = oFolder.Items.Item.Path
Set oFolder = Nothing
End Function