They should work once you have refreshed/reloaded the browser page if it's spelt correctly and in the same folder as the 'index.html' file.
I suspect without seeing those files you have made a typo either in saving the filename itself or path. They also must be spelt correctly and match; your file name, location and extension so that they will link to/from the file: index.html and try to load it, i.e. go to that page.
The browser will only ever try to go to wherever it is told; so if you ever spell the path or filename wrong and it will just get lost... and you'll not get a working link that goes anywhere. Like you seem to be experiencing.
Therefore make sure your three files are called: index.html, about.html and contact.html respectively and have the extension *.html not anything else like *html.txt or *.txt and that are stored in the same folder/directory.
I assume you can load/open all three files independently and they display fine but it's just your links that are not working?
If you are still having problems copy-and-paste your HTML for the index.html file in a new post here so we can determine if it is a typo in the markup or you have actually misplaced those files or saved them with the wrong name, etc.