I believe that it does with Word XP SP2

As Doug says, you will probably need Word XP SP2 or later to make this work
at all, but...

From an old post of mine, slightly edited:

You /may/ be able to get what you want using fields, and someone may come
along and suggest how to do that. But I think you will need to use VBA and
the mailmerge events.If you're familiar with VBA, I suggest you try the
following experiment. If you're familiar with Events, you can probably skip
some of this stuff.

The overview is as follows:
a. In your mail merge main document, you will have a bookmark named "mybm"
that specifies where you want the hyperlink to go
b. also in the document, you have a class module with a routine that
responds to the Mailmerge "Before Record Merge" event. This routine will
insert a hyperlink at the specified point, using data from the current
record in the data source
c. Also in the document, you have a module with an AutoOpen routine that
creates an instance of your class and initialises event handling.

I'm not a VBA expert so please don't regard the following code as
"polished" - you may need to add error handling and so on before it will all
work reliably for you or your users.

So...

1. Create a new document, connect it to your data source, and insert one
merge field and a bookmark named "mybm"

2. Open up the VBA Editor and
a. insert a class module.
b. name it EventClassModule in the properties box
c. Copy the following code into the module:

Public WithEvents App As Word.Application

Private Sub App_MailMergeBeforeRecordMerge(BYVal Doc As Document, Cancel As
Boolean)
Dim dt as String
Dim lt as String
Dim h as Hyperlink
Dim r as Range

' set the range variable to our placeholder bookmark
Set r = Doc.Bookmarks("mybm").Range

' delete any existing text (this is needed for records after record 1)
r.Text = ""

' construct the link text that you want. I'm assuming your data source has
fields called idfield and namefield
lt = http://www.testsite.com?id= & _
Doc.MailMerge.DataSource.DataFields("idfield") & _
"&name=" & _
Doc.MailMerge.DataSource.DataFields("namefield")
' set up the display text that you want. If it should be the same as the
link text, do that:
dt = lt

' insert the hyperlink you want
Set h = Doc.Hyperlinks.Add(Anchor:=r, Address=lt, TextToDisplay:=dt)

' Set mybm to "cover" the inserted link so it is easy to delete the old
hyperlink

Doc.Bookmarks.Add Name:="mybm", Range:=h.Range

Set r = Nothing
Set h = Nothing

End Sub

3. Insert an ordinary module (the name does not matter) and insert the
following code:

Dim x As New EventClassModule

Sub autoopen()
Set x.App = Word.Application
End Sub

4. Save and close the document. Open it to trigger the autoopen, then
perform a test merge.

NB, if you start changing the code you may find that you need to re-run your
autoopen code again, and/or save/close/open the document.

--
Peter Jamieson