This depends on your version of Word. All versions, going back to at least
Word 97, have hyperlinked *page numbers*. Only more recent versions add
hyperlinks for the entire table of contents entries. This is the default
setting, but for an existing TOC that isn't hyperlinked, just add the \h
switch to the field code and then press F9 to update the TOC.
To show/hide field codes, use Alt+F9.