Hello Maarten,
When did this start happening? What changed around that time? What does the file association say for docx files? It should say "Microsoft Word". Do you have the same issue with other Applications such as Excel or PowerPoint when inserting a hyperlink to
them like pptx or xlsx files? Can you paste in what the hyperlink is and what it says when you hover over the link with your mouse?
Without being able to see the issue first hand it is going to be hard to troubleshoot. You might want to consider opening a case with us. However, I would suggest as a test completely removing Office 2010 and reinstalling. Have you also tried to do a repair
of Office?
To completely remove all of the Office components on the machine(s) use the fix it in the following KB.
http://support.microsoft.com/kb/290301
I tried to reproduce the issue on my test box and I cannot. I'm guessing but it might be something with the image on the machine or possibly with the OCT (Office Configuration Tool) if you used that to install/upgrade Office 2010.
Thank you,
Sr. Support Engineer - Microsoft Word