Hyperlink problem

[Charles]

If I insert a hyperlink to a particular ZIP file on a remote server into
a new Word 2008 or 2004 doc and click on it, the message appears at the
bottom of the screen, "Word is preparing to load this document." After a
while, however, I get a message, "Unable to open
http://www.domain.com/document. Cannot download the information you
requested."

If I insert the hyperlink into Excel 2008 (haven't tried 2004), the file
downloads with no problem. The file also downloads fine if I type the
URL into a browser.

Here is my setup:

Office 2008 12.1.1
Office 2004 11.5.0
OS X 10.5.4
MacBook Pro Core 2 Duo 2.33 GHz, 3 GB RAM

Any ideas?

Charles