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Hi Phil,
Thanks for your updates.
You can’t create such a shortcut to the target folder and make it as a current folder to show the files for your selection.
You can only define a hyperlink base to be pointed to the target folder and then type the files’ names to create hyperlinks.
Alternatively, you can also pull the dropdown list in Look in to navigate to the target folders manually and then select the files in them to create hyperlinks.
Given the situation, I suggest you submit your feedback in our Excel UserVoice as it is the direct way for product developers to know users’ requirements.
Thanks,
Cliff