No, the ThisWorkbook.Name is a builtin function and will fill itself in based on the workbook in which you install the code.
To add the code:- open the VBEditor (ALT+F11)
- Insert a new module (Insert > Module)
- Paste the code into the module that appears
Run the macro and it should do it's thing. When you receive errors, DEBUG and make note of the line of code that is highlighted in yellow, we need to know what that is to guess at what might be wrong. But it's a pretty basic macro.
The version of the macro I gave you uses column A and row 1 to determine the boundaries of the data.
Here's another version that uses a "search" method on each sheet, it might work better:
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