Okay here is what I've tried so far for creating relative links in my MS Word Documents.

1. In my document from the ribbon I select the File tab.
2. I then select Info from the side bar.
3. Click the properties drop down from the right hand column. (a bit difficult to find initially, since it looks like text not a drop down, but it's there).
4. Click Advanced Properties
5. The <document-name>.docx Properties Dialog Appears
6. I enter .\ to specify that I want a relative path for the links in my document.
7. I click OK.
8. I go back into my document select some text and attempt to make a link out of it clicking the Insert tab of the ribbon, and then clicking Hyperlink.
9. I then select a document from the current folder, and strip the full path from it, leaving just the name of the .docx file to which I wish to link.
10. Then I click OK.
11. The link appears, I try to click it using Ctrl+Click. I am informed that the address of the site is not valid. Check the address and try again.

What could I possibly be doing wrong here? I just want a relative link. It's so easy in to do this in HTML.