As a workaround, store your link in the SQL Server text field with the format "display text#URL#", eg. ...
Stack Overflow#https://stackoverflow.com/#
Then use a form with a text box bound to that text field and set the text box's Is Hyperlink property to Yes.
That's probably not what you had in mind. But since SQL Server doesn't offer a counterpart to Access' hyperlink data type, this is the best workaround I've found.