This should do it..
Nice that your groups of data is separated by a blank row allowing for the use of .Areas.. 
Private Sub CommandButton1_Click()
Dim fs As Object, a As Object, Z, textname As String, myArea
For Each myArea In Range("A1:A" & Range("A" & Rows.Count).End(xlUp).Row).SpecialCells(2).Areas
textname = myArea.Offset(, 1).Resize(1, 1).Value & ".txt"
Set fs = CreateObject("Scripting.FileSystemObject")
Set a = fs.CreateTextFile("c:\" & textname, True)
For Each Z In myArea
a.writeline Z
Next Z
Next myArea
End Sub
Change the filepath in this line to suit..
Set a = fs.CreateTextFile("c:\" & textname, True)
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