In Word 2003, when you insert a hyperlink to a file on a network drive
(even a mapped share), Word uses a UNC (universal naming convention)
path. For example, if a share named 'myshare' exists on a system named
'fs01' and you want to link to a file called budget.xls in the root of
that share, the UNC path is \\fs01\myshare\budget.xls. If you have
mapped \\fs01\myshare to z:, I have not found a way to force Word
hypelinks to retain a path like z:\budget.xls. Word will automatically
replace that path with the full UNC path. This is not altogether bad,
since using a mapped drive letter in a hyperlink could cause problems.
If you decided next week to map the share to w: instead, the hyperlink
wouldn't work. More importantly, if your document is used my multiple
people in an organization and you use a mapped drive letter in the
hyperlink, the hyperlink is assuming that all staff/employees have
mapped the share to the same drive letter.

Hope that helps!