Adding Hyperlinks to other projects (Merged)

I am running into an issue with adding Hyperlinks to other projects.  I have several projects that I have merged into one Master project.  I have generated all the child projects into their corresponding Merged Project folders in the master file.  All I am trying to do is link one project to another.  So in "Child Project A" I have a hyperlink to "Child Project B". I am linking to a "File" which is Project B's HTML file in the Master Project (Merged Folder).  When I do this, I get a message in project A that:

"This action will create an external link to the help system.  The link may not function when the help system is moved to other systems. Create link anyway?"

So I create the link and generate Project A, but when I generate the Master Project, the link does not work. How do I fix this?  Links that I have to pages within a project work just fine, but not when linked externally even though all the projects linked have been merged within the Master Project.