Word 2000 and above: This is automatic. Unless you remove the \h switch from
the TOC field manually (or clear the related check box in the TOC dialog in
Word 2002 and above), each entire entry is hyperlinked. This may not be
obvious because the entries are not formatted with the Hyperlink character
style, and in Word 2002 and above, unless you have changed the default, a
single click is not sufficient to go to the linked page (but you should be
getting a ScreenTip that tells you to "Ctrl+click to follow link"). If you
remove the \h switch, the page numbers remain hyperlinked as in previous
versions.
Word 97 and earlier. TOC entries are not hyperlinked by default, and there
is no practical way to make them so, but the page numbers *are* hyperlinked.