Firstly, the hyperlinks must be created correctly in PM - there is a tutorial somewhere on Adobe.com explaining exactly how to do tihs.
Secondly, hyperlinks are only maintained in the PDF if you use PM's Export… AdobePDF… macro.
Here's some support advice from Adobe:
HyperLibrary Plug-in & Scripts
Export PDF 3.01 Plug-in Update (January 1998) -- English
It looks like the PM Tutorials are no longer active - not surprising really when you look at the dates above.
I have created them according to the PM directions. Not sure what macro
means, but I have been trying to "export" to a PDF.
Macro means a series of instructions, in this case to create an output Postscript file, launch Distiller and then convert the PS file into a PDF.
In the old days it worked well, but that does mean Win2K/XP and Distiller 5 or 6. Any other combination of Windows and Distiller means all bets are off.
Are you getting any other error message?
You can check you have everything installed correctly here: http://bigjohnd.org.uk/PageMakerExportPDF/index.htm