It's an autocorrect option, you can disable the behavior there. Also, at least in 2000, when you right click on the cell one of the options is "remove hyperlink".

Need to remove a lot of hyperlinks in Excel but keep the visible text? In this episode, learn a quick method to bulk remove ...

Excel does its best to handle hyperlinks such as email addresses and URLs, even though they’re incredibly awkward to shoehorn into spreadsheets. If you have only a few links in your spreadsheet, no ...