I want to add a hyperlink to another area in my Excel workbook.

On one sheet when I right click on text that I want to add the hyperlink to,
I don't get the hyperlink option. It has the following:

cut
copy
paste
paste special
__________
insert page break
reset all page breaks

insert
delete
clear contents
__________
insert comment
__________
format cells
set print area
reset print area
page setup

There is no hyperlink option. Any ideas? Thanks in advance.