Hyperlink to location in file NOT WORKING

Hello,

I can't seem to get the hyperlink function to work when selecting "Place in this drawing".  When I select "Place in this Drawing", the RH navigation window shows all sheet names that appear in the dwg file...I then select the sheet name and hit "OK".  However, when I try activating the Hyperlink I get an error "Hyperlink destination cannot be found."

Please assist me with getting this valuable feature to work.