Hi Khalid
Welcome to VBAX
Try the following. The first will skip over blanks; the second will stop at the first blank.

Sub CFD()
Dim cel as Range
For Each cel In Range(Cells(2, 1), Cells(Rows.Count, 1).End(xlUp))
    If cel <> "" Then
        ActiveWorkbook.SaveAs Filename:= _
        "P:\CET - e\TL Monthly Reports\TL Reports\" & cel.Value
    End If
    Next
End Sub
or

Sub CFD2()
Dim cel as Range
For Each cel In Range(Cells(2, 1), Cells(2, 1).End(xlDown))
    ActiveWorkbook.SaveAs Filename:= _
    "P:\CET - e\TL Monthly Reports\TL Reports\" & cel.Value
    Next
End Sub