Many styles do this automatically - you'll see if you place the cursor over the citation you get a Ctrl Click message to follow the link. If that doesn't happen, and if you also want to underline the link so that it looks more like a hyperlink, follow the instructions below:

• In the EndNote tab in Word, click on the small arrow in the bottom right corner of the Bibliography command block on the toolbar ribbon.  A pop-up window will appear.
• Select Link in-text citations to references in the bibliography.
• Select Underline linked-in text citations.