Check if file exists

You could possibly modify this to suit your needs, and then put it in a suitable loop.

Sub CheckIfFileExists()
    Dim strExcelFileName As String 
    strExcelFileName = "C:\My Documents\Test\Sample1.xls"

    'Check for file, exit if missing.
    If Dir(strExcelFileName) = "" Then
        MsgBox strExcelFileName & Chr(13) & Chr(13) & "Cannot be found.", _
               vbCritical + vbOKOnly, "Requested File Missing."
        Exit Sub
    End If

End Sub

Hope this helps