PROBLEM: In Microsoft Word documents you can add a hyperlink to Kahootz (and other websites), but when people click that link they'll get an error message from Word saying "Unable to open https://mysite.kahootz.com name. Cannot download the information you requested."
ANSWER: Unfortunately, this is a problem with how Microsoft Word handles the links. When you click on the link in Word, rather than passing that link to a web browser, Word attempts to download the linked page itself. As all Kahootz sites need you to login to access content, what Word receives back is a standard code indicating that it can't get that page without login. In a web browser, you'd get the same system, but the browser will show you the login box that Kahootz sends, whereas Word doesn't do this - it has no mechanism for displaying the login box.
There's no solution for this in Word, but you may be able to get around this by using something different. If there isn't a need for the recipients to modify the document you could distribute it as PDF - clicking on links in a PDF passes them directly to the web browser, which will handle the login requirements properly.