Hyperlinking in Word Document

I am publishing a training newsletter that I’ve created using Word. I save the document as HTML and am using Word as my editor. I want to link the table of contents to sections within my document to lessen the need for scrolling. I have figured out how to do this, however when I tell it to link within the document it only offers me a small choices of headings that Word has picked out. How do I get it to recognize all of my headings so that they are available in the list of places within thedocument to link it to?

Help please! If you know how to do this, I can even email you the file I’m working with so you can see what I’m trying to do.