I'd say the simple solution is to break your worksheets into workbooks. If you want this solution because you have a ton of sheets, you might consider making a welcome sheet with hyperlinks to key sheets.
If you're really stuck on trying to get that to work, I'd say create some VBScript files that open the workbook and a particular worksheet in that workbook. If you typically have Excel open, you can create macros to do the same thing and put them on your action bar or put them on a custom tab in Excel.
Besides those options, I'm not sure how else you may do it.