Multiple "document.getElementById" scripts doesn't work

Question 1

The whole concept is poor. If you have a link, USE the link. Either directly without script (good for all browsers and for SEO) or change the href or the onclick of the LINK

Also do NOT have numeric IDs

DEMO

<html>
<head>
<title>Index</title>
<script type="test/javascript">
 var myLinks = [
'http://bing.com/search?q=go',
'http://bing.com/search?q=visit',
'http://bing.com/search?q=explore',
'http://bing.com/search?q=funny%20pics'
]; // note no comma on the last item
window.onload=function() {
  for (var i=0;i<myLinks.length;i++) {
// EITHER    document.getElementById("d"+i).getElementsByTagName("a")[0]).href=myLinks[i];
// OR   
      document.getElementById("d"+i).getElementsByTagName("a")[0].onclick=(function(idx) {
      var idx = i;
      return function() { // closure 
        location=myLinks[idx];
        return false; // cancel href
      }
    })(i);      
  }
}
</script>
</head>
<body>

<div id="d0"><a href="#"">GO</a></div>
<div id="d1"><a href="#"">VISIT</a></div>
<div id="d2"><a href="#"">EXPLORE</a></div>
<div id="d3"><a href="#"">FUNNY PICS</a></div>

</body>
</html>

Question 2

You need to check first that element is null or not.

HTML #2

<html>
<head>
<title>Index</title>
</head>
<body>

<div id="0002"><a href="#"">GO</a></div>
<div id="0003"><a href="#"">VISIT</a></div>
<div id="0004"><a href="#"">EXPLORE</a></div>
<div id="0005"><a href="#"">FUNNY PICS</a></div>
<script>
var element = document.getElementById("0001");
if(element!=null)
{
element.setAttribute('onclick', 'window.location.href=\'http://site.com/1.html\'');
}
var element = document.getElementById("0002");
if(element!=null)
{
element.setAttribute('onclick', 'window.location.href=\'http://site.com/2.html\'');
}
var element = document.getElementById("0003");
if(element!=null)
{
element.setAttribute('onclick', 'window.location.href=\'http://site.com/3.html\'');
}
var element = document.getElementById("0004");
if(element!=null)
{    
element.setAttribute('onclick', 'window.location.href=\'http://site.com/4.html\'');
}
var element = document.getElementById("0005");
if(element!=null)
{    
element.setAttribute('onclick', 'window.location.href=\'http://site.com/5.html\'');
}
</script>

</body>
</html>