... put the cursor immediately after the pasted URL, hit carriage return which embeds the hyperlink, then backspace to get back to how you want it.
That works if what is copied includes the URL in text, e.g. http://site.domain.tld. It doesn't work if what is copied is an anchor with a referenced URL, e.g. My site.
This is all a function of, I think, one or other of mshtml.dll and mshtmled.dll which are updated with every change to Internet Explorer. We've seen this sort of error arise in Windows Live Mail with every upgrade to these libraries, and there's nothing to be done about them except hope that the next change will undo the damage. Sometimes it does, sometimes it doesn't.