Add a line of code:
Sub Highlight_WordN()
Dim oRng As Range
Dim oComment As Comment
Set oRng = ActiveDocument.Range
With oRng.Find
Do While .Execute(FindText:="HAPPY")
oRng.Paragraphs(1).Range.HighlightColorIndex = wdYellow
Set oComment = ActiveDocument.Comments.Add(oRng.Paragraphs(1).Range, "Whatever text you want as the comment")
oComment.Range.Style = "Body Text" 'Or whatever built-in or custom named style you want to apply.
oRng.Collapse 0
Loop
End With
lbl_Exit:
Set oRng = Nothing
Set oComment = Nothing
Exit Sub
End Sub