If your text is in a Windows Form, you can use a LinkLabel rather than a Label to set a hyperlink. You can set where the link starts within the text and how long the link is. Then in an automation use a Click event on the LinkLabel to start a Process with the FileName property set to the URL you wish to navigate to. 

To clarify, what you are asking is that you want to change the value of a cell in Excel from text to a hyperlink? If so, the Pega Robotics Microsoft Excel connector will not have specific methods to do that out-of-the-box. You can look into writing code to do that using Excel.Interop as the connector is really a wrapper for that and exposes the required objects, although that appears to be unnecessary. I found the article below and you may just be able to change the text that you are inserting into each cell.

https://superuser.com/questions/157414/how-to-turn-hundreds-of-text-urls-in-excel-into-clickable-hyperlinks