I currently operate under Windows XP and have multiple links between my Word and Excel files. I have to upgrade to Windows 7. When the .doc and .xls files are converted to .docm and .xlsm, respectively, the links no longer work. The Word document is still attempting to point back to the old .xls file rather than the new file.
Also, creating new links between Word and Excel within Office 2010 doesn't seem to work. I create the new link, switch it from "Auto" to "Manual" and everything works fine. But when I copy the files to another folder, the Word document is still trying to link to the file in the previous folder rather than the new folder. This always worked in Windows XP.
I've been using linked Word/Excel documents for 10+ years and have never really had a problem. I'm very careful to maintain Word and Excel filenames when moving the files to a new folder. The process has always been to 1.) move the files, 2.) update the links, 3.) rename the files, and 4.) update the links again.
It's my understanding that under Windows XP, links between Word and Excel are relative. But under Windows 7 (and Office 2010?), those same links become fixed.