This is a known issue with MS Excel. Basically, the hash/pound (#) sign is a valid character to use in a file name but is not accepted in hyperlinks in Office documents. The conversion to %20-%20 appears to be by design.
However, take a look at this question, highlighting the same issue but with Excel 2010:
- Excel hyperlink to web page location with id or named anchor
which seems to imply it might be a browser issue with IE. If you can set another browser as your default, even temporarily for testing, it might work.
