Stop Windows Microsoft Word from hijacking your links
Windows Word hijacks all hyper links by default when you are using a browser other than the default Microsoft browser. There is no way to change this default behaviour in settings. Microsoft was nice enough through to offer a little application, which changes some registry settings and reverts the handling of all links in Word to your default browser (Chrome or Firefox etc).
Download and run the application in this Microsoft KB article.
Thanks to Super User Arjan for giving a very good answer.