Do you mean a hyperlink that takes you to another part of the doc when you click on a piece of text? If so, do this:
1) Select the text that you want to jump to. Go to Insert\Bookmark and give this bookmark a name.
2) Select the text that when you click on it, takes you to the bookmark above. Go to Insert\Hyperlink, but make sure you choose on the left side [Place in this document]. Select the name of the bookmark and that's it.
Depending on the version of Word you have, you can either click on it or use <Ctrl> + <click> to get to the bookmark.