I'm not a hundred percent sure how to do this but one thing is certain Microsoft Word is not what you should be using for a project like this. May I recommend that you try a decent website editor such as Bluefish on Linux, or Adobe Dreamweaver on Windows (Nvu is also highly recommended on Windows [and its Open source].

 If your intending for this to be published on paper may I recommend using the latex language ( see http://en.wikipedia.org/wiki/LaTeX ). It may take a little time to learn but you will find the result looks highly professional, and it will do a lot of the hard work in formatting for you. For example it has the ability to compile the contents complete with links for you. A good editor for Linux is Kile, for Windows TexMaker is a good choice.

 However if you are determined to use Word then rtaui's referral is solid.