Packaging a PDF with Files and Hyperlinks

Google keeps coming up empty when I search for the solution ad I can't seem to find anything in these forums either, but hopefully one of you will be able to help me out.
I want to provide a client with a zip archive containing the PDF I'm working on as well as certain files they will be needing.  These cannot be on a server.
The client will be expecting to unpack the archive before reading the PDF.
I have been trying to create relative hyperlinks to the files in question (two of which are zip archives themselves) so that the client could click on the link and have their default software open the selected file.  Unfortunately, it seems like the PDFs I'm creating route all URLs through the default browser, rather than the operating system itself.  Thus, text files are opened and displayed in the browser, directories are displayed as directory indices in the browser and anything else that the browser can open seems to work (html documents, etc.).  However, when the file being linked to is not one that the browser can open (such as a zip archive) nothing happens.
For example, I have created a link with the correct relative url to the file.  In the PDF, hovering over it shows the correct file path.  I click on it and get the Adobe Reader security pop-up, saying:
This document is trying to connect to:
If you trust this site, choose Allow. If you do not trust this site, choose Block.
Of course, I choose Allow.  Then nothing happens, presumably because the request is being sent to the browser which doesn't know how to handle it. Is there any way to send the request to the operating system? Or at least to open up a file browser, rather than the web browser?
Thanks for any help!
Oh, and I'm using InDesign CC on an x64 Windows machine, if that's of any use.

When you combine PDFs into a Package (Acrobat 8) or a Portfolio (Acrobat 9 & X) links present between two PDFs that are combined into the Package / Portfolio  are broken. The PDFs combined into a Package/Portfolio become attachments to the new PDF created (the Package/Portfolio).
The links between PDFs are between descrete stand alone PDF files not between files that are attachments in the new PDF.
Once PDFs are combined into the new Package/Portfolio PDF you can use the Link Tool to create links.
The PDF annotation that is a "link" does not have a "reveal codes" functionality.
Keep in mind that PDF is very much a different thing from word processing or layout file formats.
(Ref: ISO 32000-1)
Be well...