IIRC copying html from a Word document can cause the hyperlinks to become broken. HTML links that point to a non-existing file or ID on a file will cause an error.
Here's a link to help you learn about HTML hyperlinks.
In the meantime, here is a simple way to fix this issue (do this in order):
- Ignore Merging
- Put new header tags <h1-h6> at the top of each html page.
- [optional but recommended] rename your html files so they make sense. Highlight all the chapter files in the book browser, right-click and select 'rename' then put in a name that makes sense eg "Ch01". Sigil will automatically change the html files to a sequentially numbered list: Ch01, Ch02, Ch03 etc.
- Click Ctrl-T (Tools/Table of Contents/Generate Table of Contents). Sigil will automatically make a ToC from all of those header tags <h1-h6> you put at the top of each file.
- [optional] If you want an HTML file with your ToC then select 'Tools/Table of Contents/Create HTML from Table of Contents' This will create a new HTML file with all of your header links that will now work properly.
- delete the original file with all the <h1> tags that didn't work