Steve Hayes shared this with us in microsoft.public.word.newusers:

On Thu, 9 Dec 2004 05:27:14 -0800,
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wrote:

Dear All,
I am running Microsoft Word 2000 version 9.0.3821.
My problems comes when converting Word Files into Adobe Acrobat
form. I have numerous text that have hyperlinks to my hard drive,
opening files. I would like to convert this Word file to a PDF and
keep its functionailty. I select "Adobe PDF" from the menu and then
"Convert to Adobe PDF". This will convert my file to a PDF but the
problem is that once I convert the file, the links have gone awry.
The first link how has the file path of the second link, the second
link has the file path of the third, etc...only the last link has
the proper file path. If anyone could help, it would be much
appreciated. Thank you.

PDF stands for PORTABLE Document Format.

That means you should be able to read it on ANY hard drive, not just
yours.

Uhhh... Steve...
I don't see a problem, as long as he uses relative paths, and he
distributes the other files along with the PDF.
I have done that numerous times myself. In my case I linked to files in
the same directory. When I burned the entire directory on a cd, the
links still worked.

Anyway, the question is really off-topic here. It doesn't concern Word,
it's about Acrobat.