You can use the normal \label/\ref system for this. The link is then done with
\hyperref[label]{text}
Discussion \label setting and destination name
A \label uses the currently active anchor (usually, the last anchor set) when
it writes the reference data into the .aux file. The example does not show
whether the target for preamble/hyperref.tex should be the section with the
same title or it should moved below to the position of \labelfile. In the first
case, the part in the solution example file between the %%% markers should be:
%%%
\newcommand*{\labelfile}[1]{%
\label{file:#1}%
\index{file!#1@\string\FileName{#1}}%
}
%%%
If \labelfile should set its own anchor, but the destination name does not
matter, then the part between the %%% markers should be:
%%%
\newcommand*{\labelfile}[1]{%
\phantomsection
\label{file:#1}%
\index{file!#1@\string\FileName{#1}}%
}
%%%
The anchor setting is done by \phantomsection.
The full variant below also controls the destination name. It uses the fact that hyperref's
redefinition of \refstepcounter sets an anchor. (With default options) the destination
name is constructed from the counter name and the counter value. Different destinations must not share the same destination name. A problem is that \the<counter> is not always unique.
Therefore hyperref uses \theH<counter> for destination names. The file names here
are unique because they are also used for \label. \thefile shows the "file number"
that is not needed here (at end of document it could be used to get the maximum number of files). \theHfile is completely different, it shows the file name and the destination
name would be file.example.tex for file example.tex, the first part file is the
counter name, the following dot is hardwired, and the remaining part is the file name.
File name formatting
File names can be formatted in many ways. There are packages that deal with
hyphenation, font settings, … As an example, I have used package url to
define a formatting command \FileName and also added this to the index
entry to show the special syntax of the index entries. I assume that the
file names does not contain too fancy characters. Otherwise some extra
work would be needed to deal with the problematic characters.
\documentclass{article}
\usepackage{hyperref}
\usepackage{url}
\DeclareUrlCommand{\FileName}{\urlstyle{tt}}
\usepackage{makeidx}
\makeindex
%%%
\newcounter{file}
\providecommand*{\theHfile}{\thefile}
\newcommand*{\labelfile}[1]{%
\renewcommand*{\theHfile}{#1}%
\refstepcounter{file}%
\label{file:#1}%
\index{file!#1@\string\FileName{#1}}%
}
%%%
\newcommand*{\file}[1]{%
\hyperref[file:#1]{\FileName{#1}}%
}
\begin{document}
\section{about links in pdf}
The code is in \file{preamble/hyperref.tex}
\dots
\section{preamble/hyperref.tex}
\labelfile{preamble/hyperref.tex}
\printindex
\end{document}
