Other than what I said, I can't see anything inherently wrong with the (a href="") entry, and I have used similar many times when I write my own html.
For example, I use my own web pages in my browsers, not published, just to allow me to quickly navigate within my computer, and one of them is as follow;
(a href="../Work%20related/favourites.html" target="Display")(b)Bookmarks(/b)(/a).
(I am British, so I spell 'Favorites' properly ).
The link is enclosed in quotes, it has a space signified by %20, and targets to a Frames component. The ../ is my HTML editor's way of truncating paths back through directories, and is standard format for HTML.
But when I mouse over the link I see;
so I see nothing significantly different to your entry below;
(I used Text to allow the line to fit into the post window boundaries).
I can only suggest these options;
1] Are you using an HTML editor? If so, can you use that to create the link and navigate to the Bookmark.htm file?
2] If you are not, can you code the (a href) anchor with ../../../, etc, as many as required to move back through the directories?
3] In your browser, when you mouse over that link, what is displayed? How does that differ from the path displayed in Windows Explorer when you navigate to the folder where this file is? (Note, I am talking about Windows Explorer, eg My Computer, My Documents, etc, and not IE).