Great, I got it to work as below. Finally how could I place a Msg Box
pop up, if there are no sheets to copy, i.e. the only sheets that are
in the source workbook are A,B,C,D?


First = True
For Each sht In ThisWorkbook.Sheets
Select Case sht.Name


Case "Header", "A", "B", "C", "D"
'Do Nothing
Case Else
If First = True Then
'Create New workbook
sht.Copy
Set Destwb = ActiveWorkbook
First = False
Else
With Destwb
sht.Copy after:=.Sheets(.Sheets.Count)
End With
End If
End Select
Next sht