Do you really mean "Hyperlink" as in a web page link to your file?
Or do you want a Mac OS X Alias icon placed in a different folder or on your desktop to a file? Hold Command-Option keys while dragging the file to a new folder, will create an Alias.
Or perhaps a Unix Symbolic Link (similar to a Mac OS X Alias, only different). This is done from a Terminal session using "ln -s /path/to/your/file /path/to/folder/where/symlink/to/be/placed"