You can do either.

You can create an hta file (like and html page) and configure things
so that upon clicking on a button or an achor tag (or whatever) excel
opens a new Workbook with a new workfile.

You can also create an Excel Workbook that would do the job.

Most people would do it in Excel.

With HTA solution:

Disadvanges:

1. Users must lower security settings,
2. It's harder to maintain (the developer must know VBScript,WScript,
and Excel)

Advantage:

1. Looks cool. The menu page can reside on a webserver and looks like
a web page.

With Excel solution:

Advantages:

1. Keep existing security settings,
2. Any Excel programmer who knows VBA can maintain it.

Disadvantage:

Users will want to open Workbooks themselves. Why go through menu
workbook?