document links do not work when published in exe (work in .swf on html)

On one slide in a Captivate project, I put a button with a action to open a word document . I then published the project in two diffferent formats: 1) swf with html 2) exe. I had the word document that I linked to sitting in the output folder as the alert box told me to. (I had the document in the folder my captivate project file is sitting too)
The document link button works fine in 1), opening a new IE window asking the user when to open/save the document.
The document link button does NOT work in 2), opening an IE window with MSN search saying the document is not found: "We couldn't find any results containing WordDocumentName.doc."

Any ideas? Thanks.