If you want to use one of the free PDF printers or writers that are available hyperlinks does not always convert correctly when the Word document is printed to PDF. Typically this is when they are wrapped on two or more rows or have very long paths.
To solve this using CutePDF there is no free solution. You need to buy ($49.95) CutePDF Pro (Commenting -> Link Tool) to add those links back onto created PDF document.
PDF995 had the solution with the Word toolbar addin that comes with pdfEdit995 that also is free.
PDFCreator could not solve this at all.
Both the support for CutePDF and Pdf995 where quick to answer my questions.