You're seeing excel trying to help out by applying the hyperlink style to your
new entry.
You could hit Edit|Undo (ctrl-z) as soon as excel helps to revert--but that
loses the hyperlink, too.
You could use:
Tools|autocorrect options|autoformat as you type
and uncheck that "internet and network paths as hyperlinks"
But that loses the hyperlink, too.
If you want to keep the hyperlink, but not see the style change, you can change
your Hyperlink style:
Format|Style...
Choose Hyperlink
Click modify to change it to what you like.
ps. These styles live in workbooks. It's not an excel setting. So every
existing file needs to have thing changed (if you want).
If you want this style for new workbooks, you can create a new workbook, save it
as book.xlt (a template file) in the XLStart folder.
A new workbook will be created based on this workbook when you click on the New
Icon on the standard toolbar.