There is no direct option to create a hyperlink in SSRS, however you still can create links. This is how.
When designing the report:
• Open up a text box properties window
• In the Value box enter the display for the link. You can use the expressions too.
• Go to Navigation
• Enable Jump to URL
Note that reporting services will not display the underlined and blue color hyperlinks, one trick is to format the text color to blue and use Font Decoration Underline.