When you automatically create a table of contents in Word, hyperlinks are also created that link the headings in the table of contents to the headings in your document. To follow the link, just hold the Ctrl key and click on the heading in the table of contents.
If pressing Ctrl seems like an extra step, you can make it so you can follow the links with just a click.
Click File > Options.
In the Word Options dialog box, click Advanced.
Under Editing options, deselect Use CTRL + Click to follow hyperlink.