When you say "when you click the link the bookmarks don't show up" -- do you mean, that when others, not you, click on the link the bookmarks don't show up? How are you testing this?
As you may know, Acrobat defaults to the last view of a PDF on your local machine. So if you viewed it with the bookmarks not showing, and closed the file, next time that file will open with the bookmarks not showing. If you were on page 32, Acrobat will open the file to page 32. I believe this is a Preferences setting in Acrobat... So you should be sure to rule this out when doing your testing.
When testing a local file -- I find that some browsers will follow the File Properties / Initial View / Navigation Tab setting of the file but others may not. Perhaps this is a setting in the browser? I don't know. I'm comparing Internet Explorer 10, Firefox 22 and Chrome 28.0.1500.72 m on a Windows 7 Pro machine. Firefox and IE open with the bookmarks but Chrome does not. I can't seem to get Chrome to do this.
Include your link and I'll test it for you.