Hi,

See if this helps:

Private Sub Worksheet_Change(ByVal Target As Range)

Dim sPath As String
Dim sExt As String

' Set the default path and the extensions of the file
sPath = "C:\MyFolder\"
sExt = ".xlsx"

If Target.Column <> 1 Then Exit Sub

Application.EnableEvents = False
    ' Add the hyperlink
    Target.Hyperlinks.Add Anchor:=Target, _
                          Address:=sPath & Target.Value & sExt, _
                          TextToDisplay:=Target.Value
Application.EnableEvents = True

End Sub
You will have to place this code under the sheet where the list is module.
To go there press F11 and the to the left double click the sheet name. Paste the code in the white area.

sample.xlsm

Thanks