Hi Maggie,
The problem as you have described it sounds like you are trying to apply the hyperlink as an absolute path hyperlink to an existing page... meaning you are describing the entire path of the page (e.g. http://www.domainname.com/foldername/pagename.htm), not the relative path of the page which is more commonly used in HTML (a relative path is a type of hyperlink which automatically assumes it starts from the directory where the page currently is and then navigates to another page/file/folder in the directory structure using an abbriviated notation in the HTML instead of the full URL path). QuarkXPress will correctly manage the relative path links for you if you apply those links before you export... using the way I described earlier, but for the absolute path, you will need to know the URL for your site, the folder structure and the page name. In that case you would create a regular hyperlink to the page and apply it to whatever you want to use for your navigation structure. You can use either/both methods, but I would strongly reccomend using the relative path...
Now, all that background info aside, the problem you are experiencing with the page hyperlink type (the pages aren't appearing in the dropdown list in the hyperlinks dialog) is a known defect in QuarkXPress 6... and it was fixed in versions 6.5, 7.x and 8. So to ultimately fix the problem, I would highly reccomend downloading and updating to the latest maintenance release of QuarkXPress 6 (http://www.quark.com/products/xpress/six/ I believe the most current is version 6.52). Upon doing so, when you open your layouts and create the links using the hyperlinks pallet, the page names should appear under the dropdown if the link type is set to "Page"...
Also, I would reccomend downloading and playing with the QuarkXPress 8 "60-Day Test Drive". On it's own merrits there are lots of great changes (especially if you are coming from version 6), including the ability to author flash files... but also this issue has been resolved in there as well.
Hope that helps!
-Drew