I can't say I've looked at this for more than a few minutes, so there are
doubtless all sorts of problems in this area.
What seems to work in Word 2007 is...
A. Adding an \l switch in the HYPERLINK field (then reselecting the field
and pressing F9) like
\l "R6C5"
\l "E6"
\l "sheetname!R6C5"
\l "sheetname!E6"
Using a # instead of the ! seems to result in an invalid reference message.
B. Appending a cell reference to the file name in the Hyperlink field (then
reselecting the field and pressing F9) using e.g.
!R6C5
(but not !E6, nor is it obvious how to specify a sheet if you do that).
If you try #R6C5 instead, it works until you close and re-open the document,
at which point Word has modified the URL, changed # to %23 and it no longer
works (Changing Word's "Update links on save" option does not obviously help
in this case).