Microsoft Word 2002 Question

[Hardy]

I just downloaded Office XP and I liked how you can create websites off of Word. One thing, as some know I would like to create an offline website. Is it possible to do that with word? Link 2 pages together and it reads to open up that certain page. I would make it pretty much like my online site, just with no flash and no frames. I did try and do that, then I did a hyperlink and when I clicked the page it asked if I wanted to open it or save it, why would it ask that? I already have the page on there. Any help would be awsome, thanks!!