Active links in PDF documents

[Jon Schutz]

Is there any way to create an active link from LaTeX (well, LyX - I
confess) in a PDF document?  i.e. so you can click on the link in
Acrobat Reader and go straight to the website?

I've tried dvips/ps2pdf, dvips/Distiller and pdflatex using a tex file
whose guts is shown below:

\usepackage{url}
\begin{document}
Please visit mysite \url{http://mysite}.
\end{document}

None have created an active link.  Can it be done?

Thanks,

-- 
Jon