Copying data from multiple files into one file

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I have to compile an excel file by deriving thousands of data from 10 different workbooks. I know I can just use the simple "=" and link the files but this is tough as main file and other files are not on the same server. I cannot move the files to the server as it is being viewed by multiple users. Any ideas? I've been trying a bunch of macros to try and do this but have failed.

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