Error message when clicking hyperlink in Office: "Cannot locate the Internet server or proxy server"

KB Article: https://support.microsoft.com/kb/218153

INTRODUCTION

When you create a hyperlink in an Office document and then click the link, you may receive the following error message

Unable to open <URL>. Cannot locate the Internet server or proxy server

where <URL> is the hyperlink that you inserted.

NOTE: The hyperlink does work if you type it directly in the browser or in the Open box of the Run dialog box (click Start, and then click Run).