For what it is worth...
From Excel (or Ctrl+K)
From the Edit Hyperlink Dialog browse to the required Drive/Folder/File and Click on it the click OK on the Edit Hyperlink dialog - Works for me (with AutoCAD 2004, but that should make no difference)
Of course, anyone else accessing your spreadsheet [from another computer) would have to have AutoCAD or some other applications that is associated with the .DWG file type.
Now, if your dwg file type association is messed up, your problems is a windows problem, or perhaps an AutoCAD Install/Repair may help
JimL