Hyperlinking

Hello, I am new to website design. I’m using frontpage 2002 and Kirupa’s “A Beginners Guide”. I’m trying to create a hyperlink. I’m just using my hard drive right now. I’m trying to hyperlink a word document I call “copy form” that’s on my hard drive. When I create the link, instead of the words “copy form” staying there, they change to the name of where I have the file stored, “documents and settings jpeg”. Does anyone know why this is happening and how I can fix it?

thanks