Code works when stepping through, but cuts out when run

I have a sheet with names of files, and next to it numbers for passwords, like this:

Anneke-Coetzer.xls 5913 5340

Now if I step through this with F8 while in debug mode this code works. But when I run it (using my shortcut key), it doesn't... I believe it's because the sheet that opens gains focus, and it breaks the current macro.

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Can anybody help me as to how I can get it to work when I press my shortcut key for this macro?

I changed the code to this:

If TryOpen("K:\Stats\2005\test\CO\" & FileToSave) Then

' NewFile is opened
MsgBox (ActiveBook.Name)
ProtectAllSheetsAuto (SheetPass)
... other code...
Else
MsgBox ("Failed to open " & FileToSave)
End If

and when I run it normally NEITHER of the MsgBoxes are shown.