How did you do this in MSWord? I would have guessed that there wasn't a way.
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This may work for you in excel.
It doesn't open the last file that you were working on--but it will open the
first file in the Most Recently Used File list (if you have that turned on).
I'd create a new workbook and put this code in a general module:
Option Explicit
Sub aut

pen()
Dim wkbk As Workbook
Set wkbk = Nothing
On Error Resume Next
Set wkbk = Workbooks.Open(Filename:=Application.RecentFiles(1).Path)
On Error GoTo 0
If wkbk Is Nothing Then
MsgBox "Most Recently used file not opened!"
End If
'uncomment this when you're sure it's working ok
'ThisWorkbook.Close savechanges:=False
End Sub
Then put a short cut to this "helper" workbook on your desktop.
If the file has been deleted/renamed/moved, then this will fail.
If you don't have (xl2003's menu):
Tools|Options|General tab|Recently Used File list
turned on, then it will fail.