You can have links in a Word document and they can be retained in RoboHelp. See Importing Word Docs on my site.
However, that is only for links within the document, not links to other topics. If you add those manually, they will be lost on update. There is an option to prevent updating that is covered in the above page. However, that rather defeats the object.
See www.grainge.org for RoboHelp and Authoring tips