The support for hyperlinks came in with Reader 9.0 (or XFA 2.8), if you look in the warnings tab of the report palette do you see a message about target version does not supprt hyperlinks?
For forms supported in Reader pre v9 we use a button with no background/borders and overlap it on the text field (so the containing subform has to be positioned) and try as best we can to line up the text). in the click event of the button use a app.launchURL call.