Mail Merge - Hyperlink

How do I insert a hyperlink by using Mail Merge? I have an excel document containing names. I want to insert a dynamic hyperlink into the document that looks something like this: http://www.thesite.com/test.php?username=xxx where xxx would be each name in the excel doc.

Is there anyway to do this? If you just enter the url it does not look like a hyperlink anymore. Any ideas? (I'm using Word 2002)