The entry turns blue and the cursor changes to a finger when it hovers over the cell. It then looks like file://localhost/evernote/:::view: (with the same gobbledygook on the end except that colons replace forward slashes).
I then paste it into a cell in Excel and use command K to turn it into a hyperlink.
I follow your instructions (including the option key) I get an entry on the clipboard that looks like: evernote:///view/ (with lots of slashes, dashes and hex digits following) However I apparently am doing something else wrong as well. I am wondering if there is a way to create a link in an Excel spreadsheet that opens up that note in the Local Evernote client on my Mac? The solution described here works well, but when you click on the link in Excel you go to the browser-based Evernote client.