I've had a look at this problem and it is a bit of a pain. It looks like the hyperlink field has a number of different formats, there's the "#http://www.yahoo.com#" format, and it also looks like there is a "filename.doc#file://C:\filename.doc#" format. Neither of these formats are valid for the hyperlink.follow method which doesn't like # delimiters or the inital filename.
When you remove the # # delimiters and, for the second format, the inital 'filename.doc' then the follow works fine... even with a shortcut lnk. Looks like a bit a string formatting is in order.
I hope that proves helpful.