If the link is to an external file and you're not sending that file along with the PDF, then obviously it can't and won't work.
If you want it to work you have the following options:
- Send all files together, for example in a zip archive. Links created in Acrobat are relative, not absolute, so as long as the files remain in the same relative location to each other, the links will still work.
- Attach the linked-to files to the PDF and then create links pointing to those files. This is easy with PDFs, but a bit more complicated with other file formats.
- Place the linked-to files on a web-server and create URL links that point to them. That way you would only need to distribute the one file and the rest will be available online.