This should do the trick, though your URLs will need to begin with http:// or https:// for them to be picked up:
Dim text
text = "<your text with URLs here>"
Dim rgx
Set rgx = New RegExp
rgx.IgnoreCase = True
rgx.Global = True
rgx.Pattern = "([A-Za-z]{3,9})://([-;:&=\+\$,\w]+@{1})?([-A-Za-z0-9\.]+)+:?(\d+)?((/[-\+~%/\.\w]+)?\??([-\+=&;%@\.\w]+)?#?([\w]+)?)?"
Dim match, matches
Set matches = rgx.Execute(text)
For Each match in matches
MsgBox match.Value, 0, "Found Match"
Next
The regex pattern for matching URLs comes from Chris Freyer's blog and seems to handle most types of URL you're likely to encounter. It worked well on the tests I performed with it.