I don't know how many sheets from each workbook you need to copy so I'm only
copying the active sheet in each of the opened workbooks. Change "Folder ="
as required.

Sub GetBooks()

Folder = "C:\Temp\"
FName = Dir(Folder & "*.xls")
Do While FName < ""
Set OldBk = Workbooks.Open(Filename:=Folder & FName)
With ThisWorkbook
OldBk.ActiveSheet.Copy _
after:=.Sheets(.Sheets.Count)
ActiveSheet.Name = FName
End With
OldBk.Close savechanges:=False
FName = Dir()
Loop

End Sub