Glad it helped, but the AutoFormat... setting 'should' prevent URLs,
directory paths & email addresses from being converted to hyperlinks. If
that isn't the case for you there may be a problem brewing which might do
well to correct before it gets worse.
First, confirm that Office is fully updated. The most current update level
for your version of Office is 10.1.9 which is *critical* even though you're
using an earlier version of OS X. Repair Disk Permissions after applying any
updates followed by a restart of your Mac.
It's also possible that you have either a damaged preferences file or that
some other software is preventing your Word prefs from retaining your
settings. Might be a good idea to test the prefs as described here:
http://word.mvps.org/Mac/DamagedPrefs.html
Regards |:>)
Bob Jones
[MVP] Office:Mac