if you don't want the overhead of a(nother) addin here's a bit of vba code that will do the same thing
Sub addlinks()
Dim rowno As Integer, i As Integer
rowno = 2
Worksheets.Add before:=Sheets(1)
For i = 2 To Worksheets.Count
Sheets(1).Hyperlinks.Add Anchor:=ActiveSheet.Cells(rowno, 2), Address:="", SubAddress:="'" & Sheets(i).Name & "'!A1", TextToDisplay:=Sheets(i).Name
rowno = rowno + 1
Next i
End Sub