Please record a macro doing this for one cell/hyperlink. To do this, Tools > Macro, Record New Macro. Then go through the process of manually adding a hyperlink. When done click the Stop button on the macro recorder.
Having done that, press ALT + F11 to open the Visual Basic Editor. In the left hand pane click the + next to Modules then double click on Module1. The code should now appear in the right hand window. Copy it and paste it here.
If you do that and tell us the range in which the filenames are we can modify the macro to do the lot.