How do I create links within Microsoft Word?

I am trying to create a database within word. I bookmarked and hyper linked content so it would take you to the specific file.

Once I save it and transfer to say CD,thumb drive, another person’s computer etc. Will it mess up the links?

I noticed they were set to the specific places or file paths I gave them on my computer when editing from looks of it. I am not familiar with Microsoft Word, hoping someone can give me a good answer.