Is it possible to link to documents that aren't standard XHTML web files? Yes, it is. You can create links to Word documents, PDF documents, PowerPoint slides, images, and any other kind of file that you can think of. All you have to do is include the name of the file, plus the extension at the end, like this:
<a href="word_document.doc">Word document</a> <a href="powerpoint_slides.ppt">PowerPoint Slides</a> <a href="pdf_document.pdf">PDF document</a>
It's easy, and it works, but you do have to keep a couple of things in mind:

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