Well, I've used this function quite a lot, and it can bit a LITTLE sensitive!
The basic example below replicates a situation similar to what you're describing:
<TABLE style="BACKGROUND-COLOR: #ffffff; PADDING-LEFT: 2pt; PADDING-RIGHT: 2pt; FONT-FAMILY: Arial,Arial; FONT-SIZE: 11pt" border=1 cellSpacing=0 cellPadding=0><COLGROUP><COL style="WIDTH: 30px; FONT-WEIGHT: bold"><COL style="WIDTH: 167px"><COL style="WIDTH: 172px"><COL style="WIDTH: 200px"></COLGROUP><TBODY><TR style="TEXT-ALIGN: center; BACKGROUND-COLOR: #cacaca; FONT-SIZE: 8pt; FONT-WEIGHT: bold"><TD> </TD><TD>A</TD><TD>B</TD><TD>C</TD></TR><TR style="HEIGHT: 17px"><TD style="TEXT-ALIGN: center; BACKGROUND-COLOR: #cacaca; FONT-SIZE: 8pt">4</TD><TD style="COLOR: #0000ff; TEXT-DECORATION: underline">MrExcel Message Board</TD><TD style="COLOR: #0000ff; TEXT-DECORATION: underline">http://www.mrexcel.com/</TD><TD>forum/forumdisplay.php?f=10</TD></TR></TBODY></TABLE>
<TABLE style="BORDER-BOTTOM-STYLE: groove; BORDER-BOTTOM-COLOR: #00ff00; BORDER-RIGHT-STYLE: groove; BACKGROUND-COLOR: #fffcf9; BORDER-TOP-COLOR: #00ff00; FONT-FAMILY: Arial; BORDER-TOP-STYLE: groove; COLOR: #000000; BORDER-RIGHT-COLOR: #00ff00; FONT-SIZE: 10pt; BORDER-LEFT-STYLE: groove; BORDER-LEFT-COLOR: #00ff00"><TBODY><TR><TD>Spreadsheet Formulas</TD></TR><TR><TD><TABLE style="FONT-FAMILY: Arial; FONT-SIZE: 9pt" border=1 cellSpacing=0 cellPadding=2><TBODY><TR style="BACKGROUND-COLOR: #cacaca; FONT-SIZE: 10pt"><TD>Cell</TD><TD>Formula</TD></TR><TR><TD>A4</TD><TD>=HYPERLINK(B4&C4,"MrExcel Message Board")</TD></TR></TBODY></TABLE></TD></TR></TBODY></TABLE>
It also depends, however, on the complexity of your string, what exactly it's trying to link to (e.g. a document held on the web page) and often special characters like spaces.