Your initial question didn't mention /g or /e, but your actual example uses both. I'm not sure why you want the /e option here at all.

However, I've confirmed that (on my 5.6.0 ActiveState build) the deep hash value is not being modified when bound as the lvalue against a s/// operator containing slashes, but it works with a trivial pattern and replacement.

Update: Duh, a typo. This is working fine for me.

use strict;
use warnings;
use Data::Dumper;
my $msg = 'a';
my $mhash;
$$mhash{entries}{$msg}{text} = "This is a http://foo/bar.html test.";
$$mhash{entries}{$msg}{text} =~ s!http://(\S+)![<a href="http://$1" >f
+oo</a>]!g;
print Dumper $mhash;
__OUTPUT__
$VAR1 = {
        'entries' => {
                     'a' => {
                            'text' => 'This is a [<a href="http://foo/
+bar.html" >foo</a>] test.'
                            }
                     }
        };
[download]

This sort of pattern is common in blogs and stuff, to find and linkify things that look like URLs. However, you need to be careful about trailing characters that the user has typed as a part of their blog entry. For example, see here (http://perlmonks.org) for a DNS error or here (http://perlmonks.org/index.pl) for a 404 error because of the closing parenthesis characters.