Hi,
Paul has some solutions for this.
The following tread has two solutions:
(1) set up invisible objects (like textfields) throughout the form and then script setFocus to those fields.
(2) If using LC 8.1 you can add hyperlinks.
http://forums.adobe.com/message/1915856#1915856
There are some good posts to the forum; try searching specifically the LC Designer ES forum for "hyperlink".
Sorry, just reread your question. In relation to opening other PDF files from within a form, you are going to come up against a security error. This will require you to have a JavaScript (.js file) in the JavaScript folder within the Acrobat programme folder. This .js file will also have to be deployed to all users' computers.
The last post in this thread has a solution: http://forums.adobe.com/message/1359932#1359932
I am not sure if this would suit your requirements, but another solution is to create a Portfolio with the required PDF files inside the portfolio. Then it is easy to create a link between the files using the "Link Tool".
Good luck,
Niall