Instead of using the hyperlink function to do this you need to embed the PDF files as objects.

Go to the Insert tab and click Object. Now choose the Create from File tab, navigate to the PDF you wish to include and select the file. If you just click OK it will put a full size copy of the PDF. If you tick the box for Display as Icon then a PDF icon will appear in your Excel worksheet and when a user double clicks it then the PDF file will open in Adobe Reader etc. You can also click the Change icon box at the bottom of that dialog box and it will let you change the icon being used and the text displayed underneath the icon.

Let me know if you would like step by step instructions, I'm happy to write something up on my blog site for you.