Download ASAP-Utilities click here
On the ASAP menu, Sheets | Create an Index Page...
I don't understand "Hyperlink works but because of the path it won't transfer, say from My Documents to external storage media." Do you mean a worksheet or a workbook?
The easiest IMHO way to switch from sheet to sheet is to right click the arrow area just to the left of the sheet tabs and select from the pop-up list.