Copy and paste this macro into the worksheet code module. Do the following: right click the tab name for your "New" sheet in the Master and click 'View Code'. Paste the macro into the empty code window that opens up. Close the code window to return to your sheet. Enter a month in cell W2 and press the ENTER key.
Private Sub Worksheet_Change(ByVal Target As Range)
    If Target.CountLarge > 1 Then Exit Sub
    If Intersect(Target, Range("W2")) Is Nothing Then Exit Sub
    Application.ScreenUpdating = False
    Dim srcWB As Workbook, desWB As Workbook, desWS As Worksheet, lRow As Long, sPath As String
    sPath = ThisWorkbook.Path & "\Report_" & Target.Value & ".xlsx"
    If Len(Dir(sPath)) = 0 Then
        MsgBox ("Source file " & sPath & " not found.")
        Exit Sub
    End If
    Set desWB = ThisWorkbook
    Set desWS = desWB.Sheets(1)
    desWS.UsedRange.Offset(1).ClearContents
    Set srcWB = Workbooks.Open(sPath)
    With Sheets(1)
        lRow = .Cells.Find("*", SearchOrder:=xlByRows, SearchDirection:=xlPrevious).Row
        If lRow > 1 Then
            .UsedRange.Offset(1).Copy desWS.Range("A2")
            MsgBox ("Data appended from " & sPath & " to " & desWB.Name)
        Else
            MsgBox ("No data found in " & sPath)
        End If
    End With
    srcWB.Close False
    Application.ScreenUpdating = True
End Sub