Hi Irma,
If you mean to insert a hyperlink into a comment, or even to hyperlink the comment or the Shape object associated with the comment, the answer is no, Excel does not support this. Comments have no events associated with them, so there is no means of determining when a comment is made visible or being edited. Also, Shape objects (which is what a comment contains) do not support imbedded hyperlinks, and the hyperlink capability of the Shape object itself is disabled for comments.
Probably the closest you could come to providing this functionality would be to use the worksheet's SelectionChange event to automatically pop up the desired comment (that resides in the other workbook) in a messagebox when the cell containing the comment is selected, or going to that other workbook and displaying the desired comment.
I hope this helps, or at least keeps you from spending time trying to find something that doesn't exist.
Damon