You need the full Standard version of Acrobat or better, go to tools->Advanced Editing->Link tool. Draw a rectangle around the text to link and it will prompt you for link options (in-document, web URL, link colors, etc.)
I've never tried exported PDF's from anything but Open Office, those will properly export their links?
At any rate, you certainly won't be able to do all the other cool stuff a $300 app will allow you to do:
- Create bookmark sidebars - edit the PDF directly - apply password security - import other PDF's into the document, allowing you to combine PDF's of incompatible apps - Add annotations and notes - apply a digital signature - read the page out loud (in a bland, monotone voice, but it does read it . . . )