Drop Menu with Hyperlinks?

Hello Everyone... I need some serious help as I need to put together a report for work.


What I want to do is this:


Create a drop menu. The options within the drop menu to be links (either to another Excel worksheet within the same workbook, or a WORD document).


I know how to create a drop menu, that is simple, but am not sure how to do the hyperlink aspect.


It seems when I actually insert>hyperlink onto the actual text of the drop menu (on the other sheet where i created the drop menu data), the hyperlink is not active in the actual drop menu itself.

Can somebody please help me?