Hello!
ArcPad Photo Layers (and shapefiles made from Photo Layers) are not designed to include the folder location of the photos.
However, ArcPad will do this when you are taking photos attached to features. When you are using the Data Manager to check out your feature layer, be sure to configure you photo folder location on the Picture Options page.
[ATTACH=CONFIG]20566[/ATTACH]
This way, when you check your data back in, the full folder path will be included in the specified Photo Field to work as a hyperlink in ArcGIS Desktop.
If this function is really important to your workflow, consider creating a point layer with a photo field to capture your pictures using the ArcPad Data Manager to check in and out of ArcGIS Desktop instead of an ArcPad Photo Layer.
Hope this helps,
Hannah