This is a known problem with Microsoft Word. You can fix it by either setting your default browser to Internet Explorer or following the directions given by these websites.
"Cannot Locate the Internet Server or Proxy Server" When Clicking Hyperlink
Cannot Follow Hyperlink to Office Document
These links take you to a Microsoft website. The TechDoc office does not provide any support regarding these documents or attest to the accuracy of these documents. This information is provided only for convenience.