The macro creates a new sheet. Inserts all filenames in current folder as hyperlinks except the current workbook.

VBA Code

Sub InsertFilesInFolder()
Dim sPath As String, Value As String
Dim WS As Worksheet
Set WS = Sheets.Add
sPath = ActiveWorkbook.Path & "\"
Value = Dir(sPath, &H1F)
WS.Range("A1") = "Filename"
Set StartCell = WS.Range("A2")
Do Until Value = ""
If Value = "." Or Value = ".." Then
Else
    If GetAttr(sPath & Value) = 16 Then
    Else
        If Value <> ActiveWorkbook.Name And Value <> "~$" & ActiveWorkbook.Name Then
            StartCell.Hyperlinks.Add Anchor:=StartCell, Address:= _
            Value, TextToDisplay:=Value
            Set StartCell = StartCell.Offset(1, 0)
        End If
    End If
  End If
Value = Dir
Loop
End Sub

Download excel *.xlsm file

Insert files in current folder.xlsm