Hyperlinks work in Pocket Word docs, but not links to other files within your PPC device file system. However, links within an open HTML file in PIE will open certain types of files within the device, provided Pocket IE is able to display them itself. Not PXL files, for instance. But images in several formats, other HTML docs, TXT files, and a few others can all open in PIE. So if you author a set of HTML files all referencing eachother in very specific locations in the device they will open, and link to eachother.
However, not the demand that the spaces in \My Documents and any other subfolder of the device be substituted with %20 for these links to work at all! For example, if you have an HTML doc open called Doc1.html and you want to open a file called Doc2.html in the same folder, and the folder is located in a filder like \My Documents\Business\HTML files\Doc-set, here's the absolute path needed to find that document from a link in Pocket IE:
This may seem a bit cumbersome, and it is, really. Personally, if I were designing a UI for the PPC it would not have a My Documents folder for this reason. I prefer to have no spaces in my foldernames, but MS has made this impossible for us. And anyway, if you are at all good at HTML you can simply make the long path disappear by using an a href reference instead of displaying the absolute path.
For editing I use GigaPad, included with all the latest releases of GigaBar. Tillanosoft Notepad is fine too, but lacks some of the tools and keyboard shortcuts for the Stowaway keyboard. bSquared Notepad works fine, as does Pocket Word if you prepare an HTML template first, then use that to re-save under other names, preserving the HTML doc-type.
Enough information? Here's GigaBar: http://www.tekguru.co.uk/gigabar/index.htm
And once installed, soft reset, then go to Settings/System and follow the links to Register, then go to register.gigabar.com to get a code, free.