Sometimes a link on a web page inadvertently refers to a file on the C drive, and not to a web page.
This occurs when you open a Word document from WebHare, without saving it. In addition, Windows/Word places your file into a temporary folder on the C drive, which makes the link refer to this location. This is a bug in Word. If you then save the document, it will contain an incorrect link.
If you want to customize a Word document, then save it first to your computer. Next you open it.