Just to clarify, how does it appear in the original Word document? I didn't think you could have linked text like that in Word, but I only use an old version, so it may have evolved since then.
I have a vague memory of converting files to PDF that there's an option to preserve links, but this may be a different ball game if you can have link text like that in Word.
O wow, I just checked Word and learned how to insert a hyperlink! Can't believe I've never noticed that before. As you say, though, once converted to PDF it's no longer a link.
I tried an experiment that worked, though. I first saved the Word doc as a web page, and then converted that to PDF, which preserved the links. You will probably have other formatting issues, though, but still, worth a try. [/edit]