InDesign CS6 - Hyperlink to File: Not working in PDF

Greetings Uwe, and thanks so much for taking the time to reply to my question!

I'm actually trying to "do this" in InDesign CS6 version 8.0. [Please see 2 attached screen shots.]

What I've been doing is highlighting some text in my InDesign document, then adding a new hyperlink that's set to link to a "File" rather than to a webpage. Then, I export a PDF of my InDesign file. Then I open the PDF file and click on the text containing the hyperlink. 

When I try to set up a hyperlink (in InDesign) to a PDF file, Acrobat tries to look for it as a webpage URL, which gives me the error message "This site can't be reached" because it's there is no URL, there's only a file on my own computer. When I try to set up a hyperlink (in InDesign) to a different type of File (such as a Microsoft Word file) Adobe Acrobat does the same thing - it tries to look for it as a non-existent webpage URL. When I set up a hyperlink (in InDesign) to an actual URL, it works.

I'm using Adobe Acrobat X Pro. This particular project involves files that only I need to be able to open (I, as the end user.). But there will be times in the future that I'd like other people to be able to open PDF files I create from InDesign CS6 version 8.0 in whatever version of Acrobat Reader they might have.

I hope that's a more clear description of the problem I'm having. Thanks again for your assistance!  - Julie