Import Filename with XML data in Excel

I have 1000's of XML files that I can import into a single Excel 2007 sheet.  The problem is that the file name is the unique identifier and I need to import this together with the XML data.  I have attached the XMLImport.xlsm which has the code to import multiple XML files.  The part which is missing is the file name.  Any assistance would be greatly appreciated.
XMLImport.xlsm
135878.xml
985658.xml
KarmileAsked:
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Phillip BurtonDirector, Practice Manager and Computing ConsultantCommented:
Nice coding!

Just three extra lines needed - I have marked them with 'NEW
XMLImportWithFileName.xlsm
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KarmileAuthor Commented:
Perfect!  Thank you Phillip.
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