This largely depends on how your workbooks are structured.
If your data sets are all flat table and stored in single sheet of each workbook... it's very simple. Using code, PowerQuery, MS Query or any other means.
If after following Marc L's link, you are unable to solve the issue...
I'd suggest uploading sample workbooks, couple of your source file (with sanitized data, but keeping exact structure and data type) and how you want the merged output to look like.