AFAIK you cannot link to files via a http address, which is what your document is trying to do. If you make local copies of the files, you then have to change the link paths to point to wherever the local files are - simply copying them to the same folder isn't enough. Once you do that, the links should work (they do on my system).

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]