Following code will links to the word file as link in excel cell you able to type the filename.doc in the cell and it links to that file in a directory
Private Sub HyperLinkToWordDoc()
Dim oCell As Range
Dim iRow As Integer
Dim iCount As Integer
iRow = Cells.SpecialCells(xlLastCell).Row
For iCount = 2 To iRow
oCell = Cells(iCount, 5)
If oCell.Text <> "Link" And Len(oCell.Text) > 0 Then
oCell.Hyperlinks.Add(oCell, oCell.Text, , , "Link")
End If
Next iCount
End Sub