In a desktop shortcut, which I think is what you are asking:
     c:\temp\"my spreadsheet.xls"
     "c:\temp\my spreadsheet.xls"
     file:///c:/temp/david%20McRitchie/a.txt     -- using %20  for space

in a macro
    see http://www.mvps.org/dmcritchie/excel/sheets.htm
    
    ActiveWorkbook.saveas  """" & fname & """"

in a hyperlink
    see http://www.mvsp.org/dmcritchie/excel/buildtoc.htm
    =HYPERLINK("file:\\\c:\temp\David McRitchie\a.txt","thisone is good")


I don't know what  DDE is but there is something in the System Help files
about DDE  not in Excel help, so your answer may lie a reply by ...

Myrna Larsen,   in misc  2000-12-14 13:22:15 PST 

http://groups.google.com/groups?hl=en&lr=&safe=off&ic=1&th=69a0361ee38d4409&seekd=951912609#951912609

You're on the right track, Gord, but it isn't the command line that's the
problem. You need to be sure that "Use DDE" is checked, and in the "DDE
message" box, you must have quotes around the FILE NAME, i.e. it should look
like this.

  [open("%1")]