I've been playing around with Entourage on my Mac for the last couple of days (in order to access my Email from Exchange while I am out of the office).
It turns out that there is a curious feature missing from Entourage... You can't highlight a word and then insert a hyperlink. (Don't ask me why, I have no idea 😉
There are two workarounds that I got from a tester in the MacBU:
Just type out your hyperlink (e.g. www.apple.com). When you send it, Entourage turns it into a hyperlink.
If you want to link some text to a website (e.g. here) it’s a bit more difficult. There is no “native” Entourage solution to do that. You can still do it however. You need to boot Word, create your email there, then go File | Send To | mail recipient (as HTML). This will create a email using the word doc, and this email can be as complex as you like (tables, multi-level bulleted lists, linked text, etc).