See KB article 890474.

My Word 2003 is updated with SP2 (or so it says in Help | About... --
11.6568.6568). Using this under Windows XP SP1.

Situation is: I have a document saved on a network share. I want to insert a
hyperlink to a file on a different share on the same server. If I use
CTRL-K and browse to the desired file, I get the
"file:///\\server\share\..." link and when I CTRL-click on it, it works
fine. UNTIL I SAVE THE DOCUMENT. When I reopen the document, I see hyperlink
text like "\...\...\...\folder\etc." (the "..." are literally there). When I
CTRL-click on this, I get the message mentioned in the KB article, "The
address of this site is not valid. Check the address and try again."

There doesn't seem to be any way to force it to save an absolute reference.

KB Article 890474 states that this was a recognized problem and was fixed in
SP2. So why am I still having this problem?