If you want something builtin, look up "cross references" in Word. (Word also has hyperlinks, but I prefer cross references.)
If you want more control, a cross reference is just a bookmark with an inserted REF field that links to it. You can easily make a bookmark, then insert a REF field as a hyperlink to the bookmark. (if you insert a cross-reference, Word does some automagic stuff, but the pieces are the same)
I forget the sites I was on, but searching for stuff on Word bookmarks, fields, should get you what you want (or what I think you want based on my interpretation of your request!!).
If you want to link to something outside of Word, I think you have to use hyperlinks. I'm not sure if there is any other (non VBA) way of doing it.