How do I create a hyperlink to another file?

So others can view or download it from here? Unless you're running a server from your Mac, and you allow outside access, you can't.

If your ISP account has storage space included, you may be able to upload it there first, and then link to that file.

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"