If you're already getting the file, adding a hyperlink is pretty easy. Take a look at the code below, copied from the Microsoft Excel help:

With Worksheets(1)
 .Hyperlinks.Add Anchor:=.Range("A5"), _
 Address:="http://example.microsoft.com", _
 ScreenTip:="Microsoft Web Site", _
 TextToDisplay:="Microsoft"
End With
Most of that is probably self-explanatory; the anchor is the cell where you want the link, the address will be the file path, and the text will probably be either the file name or path in your case. Shouldn't need the screen tip. I tested using a file on my computer instead of the MS site and the link opens the file as expected.