I dont' believe the Hyperlink function can be used to open files other than urls and .nb files. I could be wrong. I used the Button function and modified it to look like a hyperlink. I then put a SystemOpen function inside that will open file types outside of Mathematica using the default program. Also, you should be using forward slashes and not backward slashes. And you have an extra one for some reason before CDF, but I guess that depends on where your home directory is.

Here's the code. Hope this helps.

Button[Mouseover[Style["Hola", "Hyperlink"], 
  Style["Hola", "HyperlinkActive"]], SystemOpen["CDF/Latex/seno.pdf"],
  Appearance -> "Frameless"]