Word document to PDF: open hyperlinks in new window
Download and install Microsoft's official plugin to save documents as PDF:
2007 Microsoft Office Add-in: Microsoft Save as PDF or XPS
After it's installed, you can save your Word document as PDF, and have your hyperlinks clickable on the PDF document. I've tested it and it works. Trust me ;)
By the way, I assume that you are using MS Word 2007. This plugin is just for MS Office 2007.
When you create the link in Word, you must edit the target frame: Make link in Word, right click, add hyperlink. Then new dialogue pops open. On the right, you will see "Target Frame." Click this and choose the correct option from the drop down menu. Voila!