ChDirNet and SetCurrentDirectoryA(szPath) do not change drive path

I am trying to get a hyperlink dialog box to point to a specific subdirectory - the LookIn: text on the dialog box is always the same as the folder I am working in.

This folder is on a network server and contains the spreadsheet.xlsm file as well as all the CAD drawing files that are hyperlinked to (if that makes sense).
I have a sub-directory in this folder which has PDF files (copies of the CAD files) and when I try to link a hyperlink to these files, the dialog box always points to the original folder.

I have tried the Ron de Bruin's redirect as I am effectively doing a ChDir or ChDrive to a network server:

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The attachment shows the Hyperlink Dialog box pointing to the Drawings folder not the PDF Drawings folder.

But this code does not change the Lookin path.
I have checked that the SetCurrentDirectoryA(szPath) does take the right value.
Any Ideas? Thanks