Thanks for the update.
Right-click the cell with the hyperlink and click 'Edit Hyperlink.' What appears in the 'Address' field? An absolute path will include the drive letter. Eg. 'C:\docs\file.pdf'. This path will always work from the same computer, no matter where the Excel file is stored. You could move the Excel file from your desktop to the F: drive and it would still know to link to file.pdf in the folder C:\docs\.
A relative path to the same folder might look like '..\docs\file.pdf'. Relative paths give directions to the linked file, starting from the folder where your Excel file is saved. In the example relative path above, the directions are 'go up a level, then go into the folder called docs and link to the document called file.pdf'. This might work fine, but if you move your Excel file to F: for example the relative path will stop working.
Let us know what the address is when you choose Edit Hyperlink. Also hover your mouse over the hyperlink (without clicking it). You will see a tooltip which shows the full path to the file. Is that path correct?