There are a few different issues going on here, I think. First off: The hyperlinks that came in from Word, do they link to anything? I can see that you have a character style applied that causes them to show up underlined in blue, but I would assume that they are also valid hyperlinks. If you just click the text cursor into the hyperlink (don't select any text as you have done, just insert the cursor) then the "hyperlink" section above the cross-reference section should light up, and you can double-click the hyperlink in the panel to figure out what the link is pointing to.
So, that's what you got from your Word import. The next issue is: why do you want to make new cross-references? Currently all those Word hyperlinks ought to point to the same locations that they did in Word, so they already are cross-references, in a way. If you selected some text that wasn't already a hyperlink, then that button would... allow you to create a new cross-reference. It looks like you've made a destination already, so if you want "Application of Code (AIM Companies)" to point to "Acceptance Condition," then first kill off the old hyperlink from Word, and then make a new cross-reference.
Lastly: The import of hyperlinks from Word is, I've found, not entirely reliable. I'll happily try to help you figure this out, but my guess is that you may need to do more manual work than you were really expecting to do. But if the hyperlinks pointed to the correct destinations before import into ID, then maybe they'll still work. Note that, in ID, you define your hyperlink or cross-reference destinations first, then you make the links or the xrefs.
Thanks for response.
Yes, you are right, they are not valid hyperlinks and also not light up in hyperlink palette. This is coming from Word but they have no any destination point. How to find them.
One Thing: When I saw this invalid hyperlink in Story Editor, they are tagged with hyperlink.
And I think too that work as manually on this.
If you have any idea, please tell me.
Thanks again for interest on this.
But your screenshot shows a lot of hyperlinks in that panel. You can click on one in the Hyperlinks panel and use the left arrow on the bottom panel to go to the source (where the link is in the text) and the right arrow to go to the target (which will usually be a webpage).
If you need these links to point to webpages, then you should be setting up hyperlinks.
If you need these links to automatically update according to something like the page number of the link target within your document, then you need to set up cross-references. So, I'm still not sure why you were trying to set up xrefs, when what it sounds like you need to do is clean up your already-extant hyperlinks.
I'd suggest double-clicking on one of the hyperlinks in your Hyperlinks panel so you can see what hyperlinks are capable of in InDesign:
Note that a hyperlink can point to a variety of different things in ID, and when you import Word-generated hyperlinks, they pretty much always point to "Shared Destination"s. I've found this to be problematic when processing long Word docs with lots of links, because sometimes those shared URLs don't point to the right location (if the link is to forums.adobe.com in Word it gets destroyed, but if it points to http://forums.adobe.com then it will work after import into ID). So you may be able to clean up in Word and re-import, or alternately you can make new hyperlink destinations in ID and then fix 'em in ID without going back to Word.