That's great! Thank you, gmaxey. Your simplified version works perfectly. I thought we'd never find a solution. All the best!

Hi! Now I am trying to use the code posted by gmaxey in a loop, but it doesn't work because this line "oRng.Collapse Direction:=wdCollapseEnd" remains inactive. Here is the code (I'm using the # button, but it doesn't seem to work):
Sub HTTP_Loop()
Dim oRng As Range
Dim oPar As Paragraph
Dim SearchString As String
Dim strLS As String
strLS = Application.International(wdListSeparator)
Set oRng = ActiveDocument.StoryRanges(wdMainTextStory)
SearchString = "(http*)(://*)([! ^13^32^9^t<>'""]{1" & strLS & "})"
With oRng.Find
.MatchWildcards = True
Do While .Execute(FindText:=SearchString, Forward:=True) = True
oRng.Select
MsgBox "Continue with [OK]."
If oRng.Characters.Last Like "[,.:]" Then
oRng.MoveEnd Unit:=wdCharacter, Count:=-1
End If
ActiveDocument.Hyperlinks.Add Anchor:=oRng, Address:=oRng.Text, _
SubAddress:="", ScreenTip:="", TextToDisplay:=oRng.Text
oRng.Collapse Direction:=wdCollapseEnd
oRng.Select
Loop
End With
End Sub