Hi Ambassadeur
Try to avoid selecting. It slows down the code and is almost never necessary.
Also, use Long instead of Integer. It's more efficient and you could exceed the limits of Integer (32767) with spreadsheet rows.
Declare your variables separately, Dim str, path as String only dims path. str is dimmed as Variant.

Amending your method to avoid selection gives
 
Dim i As Integer
Dim str as String, path As String
i = 2
str = "A2"
path = "P:\CET - e\TL Monthly Reports\TL Reports\"
While Range(str) <> ""
    str = "A" & i
    ActiveWorkbook.SaveAs Filename:=path & Range(str)
    i = i + 1
Wend