If you have a page links to another page withing the same Confluence instance and you export that page to work, those links are redirected to the local filesystem.

For example, a link to another page in the same space has the format (in XHTML):

<ac:link>
    <ri:page ri:content-title="Tittle of a page"/>
</ac:link>

Exporting that page to word generates a link to file:///confluence_path/display/spacekey/tittle+of+a+page .