Hyperlink from drop-down menu

Could somebody tell me how you could do the following:
I have a drop down menu in a cell with 3 options - Option A, Option B and Option C.
I want to be able to select Option A which will then hyperlink to a specific location in a database.
Option B will hyperlink to another part of the database etc
I have the drop down menu there with the options (A,B and C) but Excel will not leave me put in hyperlinks.
Has anyone a way of doing this, keeping it as simple as possible because I have very little programming experience.
Thanks in advance

Thanks for your help Roy but I dont think pivot tables are what Im loooking for.
I just want a drop-down menu to have say two options and each option has a hyperlink that brings you to two separate files in an access database?
Is there any way of doing this??any simple way??