Creating MS Word 2010 Relative Links?

Question

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.