Excel won't do that directly; you could use a more complicated formula,
=if(iserror(JanLookup), if(iserror(FebLookup), if(iserror(Marlookup), "", MarLookup), FebLookup), JanLookup)
... or use the VBA solution at http://www.ozgrid.com/VBA/VlookupAllSheets.htm
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