Try this macro
Sub CreateTextFiles()
Close
For N = 1 To Cells(1, 1).CurrentRegion.Columns.Count
Open "C:\temp\" & Cells(1, N) & ".awd" For Output As #1
For M = 2 To Cells(Rows.Count, N).End(xlUp).Row
Print #1, Cells(M, N)
Next M
Close #1
Next N
End Sub
Open up the VBA editor by hitting ALT F11
Insert a new module by hitting Insert - Module
Paste the macro into the empty sheet
Hit ALT F11 to get back to the worksheet.
Run the macro by going to tools-macro in Excel 2003 or the view ribbon in Excel 2007/2010.
I've assumed that the file names will be taken from row 1 and the block of data has no empty columns within it.
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