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Default Excel 2002 VLOOKUP in another workbook returns #VALUE

Excel 2002 VLOOKUP in another workbook returns #VALUE if the workbook is
closed. I have the full path and file name in the formula, but it only
populates correctly if I open the "looked up" workbook.
Is this a Excel 2002 bug, or is there a way around it?
My work around for now is to open the workbook, but set my macro to:
Application.ScreenUpdating = False