You may have a misunderstanding of what Window is. When you talk about a Window's name, I think you really mean a Workbook's name. Window does not have a Name attribute. Regardless, this code just works with strings and doesn't really have to know anything about workbooks. I think you want something like this:
Excel will then try to evaluate the formula and if the file doesn't already exist it requires you to locate it. That is not an issue with VBA, it's just how external workbook references work when using INDEX. The same thing would happen if you just typed in the formula directly into a cell.
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