I don’t know a way to do it globally, but if there are only a few in the word document, right click in it, you get a dropdown “remove hyperlink” and you are left with just the text.
If there are many, unformat the references in your document, remove any residual bibliography and then reformat the document and being sure to reengage CWYW from the third tab of the format bibliography window, before clicking “okay”.
In Word 2003, there are options for “Autoformat” and “Autoformat as you type”. Did you de-activate the hyperlink formatting in both options? (If Word 2008 is different, sorry.)