Thanks Tracey,
I have tried this for several files and I still get the error.
For example, here is a screenshot, where I have created a link using the HYPERLINK command. Clicking on it gives the "Alert, cannot open the specified file error".
In the row with a.pdf, I have created two links to the same file - one. using the HYPERLINK command in column D (D10) and another using "Insert->Link" in column E (E10). When I click on D10, it gives me this error. Then, if I click on E10, the file opens. When I close this file and click again on D10, the file opens properly without any change.
Now, if I write a new row, say D12 using hyperlink command to another file, it again gives me the same error as shown in the figure above.
I even tried the full path, and have the same story, as shown in screenshot below.
I tried looking at file permissions, but they all look okay. I am still lost