Insert | Hyperlink. The URL goes in the box that says Address. If you select
the text you have in the document before inserting the hyperlink, it will
already be inserted in the "Text to display" box. If you want to edit the
mouseover popup, click the ScreenTip... button.

Whoops, sorry. This is for text in a document. In order for this to work on
a menu, you'd have to...hmm...maybe create a macro to go to that Web site
and put that macro on the menu? You could ask in one of the word.vba NGs for
the appropriate code, or you could try recording a macro of following a
hyperlink.

--
Suzanne S. Barnhill
Microsoft MVP (Word)