1. What you showed us is a screenshot from a pdf with bookmarks.
2. If you create a pdf from Word, it is possible to have bookmarks created in the pdf from Word headings.
3. You can use the Document Map in Word 2007 to navigate a Word document. The document map exists in Word 2007.
4. You can add a Table of Contents to a Word document which will include hyperlinks to parts of the document.