If you wanted to do it as suggested in the other thread, you can probably just use the normal vlookup with a bit more work to create the file name. But, this would only update those cells and if that file (Kelvin.xls for example) were deleted, the data would be gone.

Guessing you're looking for something more permanent as in copying the data from columns H through O from Kelvin.xls to Leads.xls in the proper row.

Haven't looked at it a lot but one thing I'd suggest given this would probably get to be pretty long is to create a LeadID which is unique for each lead. Then, it should be fairly easy to open up Kelvin.xls and step through his rows looking for the LeadID in the Leads and copying the data - as you said, similar to the Parse Data.