Paste this macro into a VBA module in your workbook. Select the cells to be
converted to hyperlinks - it's okay if the selected range includes blank
cells. Then run the AddHyperlinks macro (Tools >> Macro >> Macros >>
AddHyperlinks >> Run).

Public Sub AddHyperlinks()
Dim Rng As Range
For Each Rng In Selection
   If Len(Rng.Value) > 0 Then
       ActiveSheet.Hyperlinks.Add Anchor:=Rng, _
       Address:=Rng.Value, TextToDisplay:=Rng.Value
   End If
Next Rng
End Sub

If you are new to macros, david mcritchie has some instructions on his site
for navigating the vba editor and how to copy/paste macros into your project.
    http://www.mvps.org/dmcritchie/excel/excel.htm

Hope this helps,

Hutch