First open a blank workbook (let suppose name is TEMP) then open the excel file whose sheet you want to merge in to one file (let suppose name is XYZ). Then from the bottom of workbook select the sheet you want to merge (let suppose name is SHEET1) right click in to sheet name and select the option MOVE OR COPY. A new little window will appear from the “To Book” option select the workbook in which you want to merge (i.e. TEMP) then tick on “Create a copy” option. Then click OK.
REPEAT THIS EXERCISE FOR ALL THE SHEET.