Unfortunately, InfoPath is very picky about the formatting of a hyperlink . . . it loves to add "http://" if you don't have something like that in there yourself.
There is a workaround -- once you've got links in place, extract the form template files into a folder, then use notepad to edit the view .XSL files and manually fix up your hyperlinks. Then right-click the manifest.xsf file and choose Design, and save your form back as an XSN. So long as you don't modify your hyperlinks in the designer, you changes should remain intact.