I have a series of files, all the same layout, where the only difference is
the filename, which is based on the date the file refers to i.e. 'Figures 01
Mar.xls'.

Is there away I can build a cell link along the lines of
='C:\DOCS|FIGURES\Figures '&DAY(M26)&' Mar.xls]Sheet 1!$M27?

Cheers