Hi Dan,
I assume the reason you are getting the message is that the file has more than 65536 (2^16) records, the maximum number of rows on a worksheet. I know of no way to automatically switch worksheets when the first gets full when you read in a text file by opening it in Excel. However, you can easily get around this limitation when you read the data into worksheets using standard I/O statements in Visual Basic for Applications (VBA). See the VBA help for reading data from files--the Open statement, Line Input # statement, EOF, Close, etc. This is also a very efficient way to read the data since you can also control what parts of each record to read into Excel and which parts not to.
I hope this helps.
Damon