In HTML it is pretty easy to insert an anchor (or a bookmark) into a document and reference it from the same document. Can I do the same in MS Word doc?
PS. Without importing HTML content into it.
You didn't mention what version of Word you are using, but if you have 2007 or later, you'll want to look at Bookmarks which can be used to identify a location or a selection of text that you name and identify for future reference.
You can use bookmarks along with cross-references for the functionality you are looking for.