my $string = "irgendein text http://test.example _wort_ noch was";
$string =~ s!(http://.*?)\s_(.*?)_!<a href="$1" class="link" target="_blank">$2</a>!g;

print $string;

irgendein text <a href="http://test.example" class="link" target="_blank">wort</a> noch was