I don't think it will work from Word 2011.
You do have to create a hyperlink, but unfortuately Word thinks it some type of file, so it adds a prefix of file:// to the URL:
As a workaround, you can try the Public Web trigger (KM Wiki).
You can use this macro, that will execute a macro passed via a standard http:// link. You should be able to use that link in any app that accepts web links.