'Add shortcut' feature in external SharePoint site

I suspect you have an Excel add-in which is causing havoc. Open File, Options and click the add-ins tab. Click the Go... button. Note which add-ins are checked and uncheck them one at the time, each time closing the dialog and rebooting Excel and retrying to open a file. If it starts behaving you've found the problem add-in.

There are two types of add-ins, so repeat this process for File, Options, Add-ins tab, click the drop-down and choose "COM add-ins".

In addition, a file may be automatically loaded from two different locations.
1. File, Options, Advanced tab, General section there is a box that says "At startup, open all files in:", note what is there and clear it.
2. Close Excel and open Windows Explorer and type this in the address bar: %appdata%\Microsoft\Excel\XLSTART and hit Enter. Move all files from that location to somewhere else.
Now reboot Excel