Assuming your useform has default names for the various elements then you could use the following code. Note that it uses one of your documents as a template:
Option Explicit
Sub Macro1()
Const strPath As String = "C:\Docs\"
Dim i As Long
Dim oDoc As Document
Dim orng As Range
Dim frmFiles As New UserForm1
With frmFiles
.Caption = "Select Documents"
.Show
If .Tag = 0 Then GoTo lbl_Exit
Set oDoc = Documents.Add(strPath & "a1.docx")
Set orng = oDoc.Range
orng.Text = ""
If .CheckBox1.Value = True Then
orng.InsertFile strPath & "a1.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox2.Value = True Then
orng.InsertFile strPath & "a2.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox3.Value = True Then
orng.InsertFile strPath & "a3.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox4.Value = True Then
orng.InsertFile strPath & "a4.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox5.Value = True Then
orng.InsertFile strPath & "a5.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox6.Value = True Then
orng.InsertFile strPath & "a6.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox7.Value = True Then
orng.InsertFile strPath & "a7.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox8.Value = True Then
orng.InsertFile strPath & "a8.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox9.Value = True Then
orng.InsertFile strPath & "a9.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox10.Value = True Then
orng.InsertFile strPath & "a10.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox11.Value = True Then
orng.InsertFile strPath & "a11.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox12.Value = True Then
orng.InsertFile strPath & "a12.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox13.Value = True Then
orng.InsertFile strPath & "a13.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox14.Value = True Then
orng.InsertFile strPath & "a14.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
If .CheckBox15.Value = True Then
orng.InsertFile strPath & "a15.docx"
orng.End = oDoc.Range.End
orng.Collapse 0
End If
End With
lbl_Exit:
Unload frmFiles
Set frmFiles = Nothing
Set oDoc = Nothing
Set orng = Nothing
Exit Sub
End Sub
The userform code (with two buttons - one for cancel) would be
Option Explicit
Private Sub CommandButton1_Click()
Me.Tag = 1
Me.Hide
End Sub
Private Sub UserForm_Click()
Me.Tag = 0
Me.Hide
End Sub