Maybe I'm not following you, but what if you add two slashes to the front of the path?
'\\abc-efd-01.bbb.xxx.com\xxeng\xxxOpera\xxReporting\xxx_Weekly\xxxx_Documents\'+[ddate]+'\xxx_Site_xxx\xxxx\' +upper(xc_ENTITY) + '_abc_xxx_xxxl_'+TASK_ID+'.pdf'
It might also be helpful if you could post a packaged workbook or at least some screenshots. It's kind of hard to understand the context of this problem or if there is another issue in play.
If I understand you correctly, you want a functionality to open the hyperlink when user select the "ColumnA" value.
In that case, just provide the <ColumnA> as value under URL and that should work. You don't have to use the "file:\\."
Secondly, when you click on "Test Link", \\ are appearing in between the text because "\\" is default "Delimiter Escape". If you do not want "\\" to appear, select the check box "Allow multiple values" from the "URL Options" and delete "\\" from the delimiter.
I hope this works.