This should help you with looping through the files and sheets. Basically, you need to connect to each file using ODBC to get the list of Sheets to loop through. To exclude some sheets, you would need to add a IF around the Load.
I am not trying to pull data from SQL. I am trying to pull the data from a SharePoint site so would I still need to setup the ODBC connection? I understand adding the IF statement to exclude the sheets I do not need but, I am not certain on how to have the script loop through the all the files in SharePoint. Would the web address serve as the ODBC connection.