Cannot open relative links in MS Word files on a mounted SFTP server

I have a number of word files linking to each other using relative links on a SFTP server.
I want to use SFTP Drive to easily access those files.

The relative links are working fine in on my system running Vista and MS office 2007, but not in XP with office 2003.

The relative links appear as: file:///\\sftpdriveq\login@server.com\dir\.....
Word 2003 on XP cannot open those links for some reason ("cannot open specified file").

I am looking for a solution to this problem, otherwise SFTP drive would be useless to my organisation.
 
sad I’m frustrated
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