Hello helpers!

I need to know how to perform a step by step Macro. This is what I would
like to do:
I have a folder on a shared drive and within that folder I have several
excel files that need to all go into a master excel file. All the excel
files have the same format and same headings. The master will look just like
the excel files except it will compile all the files into that one
spreadsheet (the master). This is where I need help. Can someone give me a
step by step process to use?
For Ex:
1)Go to Tools
2)Go to Macro ---Select Record New Macro
3).....

That is about all that I know. Do I have to select all the files in that
folder and do something else? I am so confused! I need this info ASAP as I
need to implement this first thing in the morning for my boss!!!!