Hi again,
I just wanted to tell you that I found a suitable solution for my problem. I've been searching for hours and now I will post my solution here so that perhaps other people find the solution that i couldn't find in the internet.
First of all I have to say that I didn't find a solution that solved my problem, exactly in the way I described it, but it works for me... What my solution is able to do:
When you click in a cell in column A, a popup window opens (file browser). This file browser has already a certain directory and it accepts by default only PDF files. (You can change all that of course). Now I can drag my PDF file in this window and drop it in this directory. The file will be copied in this directory automatically. By pressing enter a link to my file appears. So if it's okay for you that your file will be copied into an other directory and your hyperlink leads you there, then my solution will do it for you. If not, there is no other way to generate the hyperlinks manually file by file or install an AddOn (found something on the internet, but didn't try it).
Now my solution:
Right click the worksheet tab and click "show sourcecode". You will find a Sub called "Worksheet_SelectionChange".
Replace it by this one:
This macro implies that the macro "LinkToPdf" is called, when you click a cell in column A. (or rather: A1 to A1000)
Now we have to define our LinkToPdf Macro:
Where IsDiskFolder is a function to check if a folder already exists:
And tadaaaa: It works! 
Looking forward to your answers!
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