In what way does Excel "crash" when you try to change a link source to
a file in sharepoint services?

What versions of Excel and Windows are you using?

I have a client who uses a (non-Microsoft) document management system.
They have no way of linking to files held within that system and so
applications which rely on linked files have to reside outside the
system in order to be used (even if copies are held within the system
for archiving purposes).