Difficult to troubleshoot this long distance, but here goes (no offense meant here, just want to make sure you're not missing any steps).....
Create a new spreadsheet (let's call it Consolidate.xls. Open the VBA Editor (ALT+F11). In the Project Explorer window (usually top left window), select the VBAProject names Consolidate.xls. From the menu bar at the top, select Insert|Module. Paste my code in the VBA window (usually the window on the right). Close the VBA Editor (ALT+Q). Save Consolidate.xls. Run the macro (ALT+F8, and select the CombineFiles macro). Select one or more files you want to consolidate. When prompted to save your file, type in Pliant.xls.
Does this work?