Missing file links in self-executable exe

I have successfully created a self-executable exe from a bunch of html5 files. The exe file runs fine with all the linked pages displayed correctly in it. But as soon as the exe is moved from one location to another in the same computer, or shifted to another computer, the linked pages inside the exe stop showing, throwing missing page warning.
Any resolution on this?

Which version of HTMLEXE are you using?

The latest one.

And which browser is configured to open HTML files by default?