I do not want to use my mouse to reach a particular worksheet. That is
the whole purpose of this argument.

Anyway I implemented this as an add-in. This can be found in my blog.

However I still have a small problem. I have made the dialog box to
appear when I press Ctrl+Shift+I and it should disappear when I press
the Escape key. However I am not able to remove the dialog the first
time I am invoking it in any worksheet. The dialog box, however,
disappears on pressing Escape key for the second and subsequent times.
Is this a bug or am I missing something?. Any insights into this?