Sounds like you're looking to build a table of contents?
One good way is Jim Cone's fine, free product (his XL Extras add-in) at his:
http://www.realezsites.com/bus/primitivesoftware/products.php
Scroll right down to the bottom of the page for the download link:
XL Extras - release 1.21 ... Download
A collection of additional features including...
**create table of contents with hyperlinks to each sheet
Jim's add-in will do exactly what you're looking for (and much more ..)
After installing, just click Insert > Table of Contents (new menu item),
then sit back and watch Jim's magic go to work!
