Tim,
where do you want to do this .. in Microsoft Word .. or somewhere else?
If in Word highlight your "word" ... right click on the mouse and click on Hyperlink. Put your long URL into the address box and click OK.
If you are after a general method to distill a long URL into something more manageable have a look at tinyurl.
http://tinyurl.com/As it says on the tin, it will generate a (small) reference which you can use in future instead of your long URL.