To convert a Word doc to an eBook, you will need the full version of Acrobat (just Distiller actually). Once that is installed, there should be a button on one of your Word toolbars (or it may make its own toolbar) which will allow you to convert to PDF. To maintain the links, you will need to do the direct conversion i.e. 'Export (or convert) to PDF'. (If you do it the two step way - print to postscript file, then distill - it will lose the links).
Before you attempt this, you will need to ensure that Distiller has the right 'job options' in place, as you do not get a chance to set this using the direct conversion. One of the default settings in Distiller is for 'eBook' so choosing this will give you the correct compressions.
If you still have questions, just ask.