Apologies. I confused my reply to you and my response to Ambassadeur.

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