I highly recommend the use of the Hyperlink() worksheet function for this application. There are several syntaxes, depending upon whether the linked file is open or closed, and whether there are spaces in the File/Pathname. But I tend to use the follwoing syntax to cover all combinations:
You'll notice that the entire File/Path is contained in Square Brackets. The way that I build this is to open BOTH workbooks, then in a cell off to the side, I simply type in =, and switch to the destination book, and select the destination cell. Then I CLOSE the destination book. This causes Excel to build the FULL file/pathname in the Source book. Then I simply copy/paste the full addrss sstring to the Hyperlink() function, and move the leading Square Bracket from it's normal position to the FIRST position in the string, and adust the Single Quotes accordingly (included around the Sheet Name, but not in the File/Pathname).
The syntax is TRICKY, so it may take you a few tries to get it right. Good Luck.