If you only need to change your list into urls the once, then you could use excel. Import everything into excel with your urls in a column. Add the html code to the colums before and after and then combine all the text into one column. I think the name of the function is "concetanate" or something similar. If you are going to keep adding to your list of urls, then keep them in a seperate text file and use an array to call them through one at a time.
You could also use word... record a macro for the how you convert each URL into a link... Play the macro to do the rest of the URL's
If you're going to be processing a lot of lists, you could always write a simple Perl or PHP script to split the URL lists on whatever character is used to delimit them; you can then just loop through the resulting array and do whatever you want with the URLs (write out a file, wrap them in HTML tags, etc).