Are you sure the links are embedded, or could they simply be URLs? URLs show up as links or not depending on whether the "Create links from URLs" general preference is selected.
Do you receive any error messages?
Does the pointer change from an arrow to a pointing hand?
Are you connected to the Internet?
If the links are pointing to locations not available to you then the links cannot work. Locations that you probably do not have access to include the designers computer.