Here's the script that transforms an URI into a HTML link:

@rem = '--*-Perl-*--
@echo off
perl -x -S "%~dpnx0" %1 %2 %3 %4 %5 %6 %7 %8 %9
goto endofperl
@rem ';
#!perl
#line 8
use strict;
use warnings;
use HTML::Entities;
use Win32::Clipboard;
my $CLIP = Win32::Clipboard();
my $text = $CLIP->GetText;
if (substr($text,0,1) ne '<') {
   chomp $text;
   $text = encode_entities($text);
   $CLIP->Set('<a href="'.$text.'"></a>');
}
__END__
:endofperl
[download]

Update:Uses HTML::Entities to translate & to & etc.