VLOOKUP($A1,'C:\INFO\MONTH\[REPORT
MONTH.xls]Sheet3'!$B$4:$J$158,$A39,FALSE)

Now my idea is that if I have a several number of months saved in a
folder with the name of the month, then I can referentiate the month
in a column, lets say I could do something like this:

=Concatenate("'C:\INFO\","B5","\[REPORT","B5",".xls]Sheet3'!$B$4:$J$158
")

Where the value of B5 is (January, February.... or anymonth) plz

BUT!!!!!!! This is not working ...

Try removing the quotes from around B5 in the concatenation.

The formula needs to have the contents of the cell B5, not the two-
character string "B5".