Thank you all! Seiya's code worked like a charm! Thank you very much!
If I wanted to change the location, based on the contents of a cell, let's say B5, how could I modify the code?
How do you want the data to appear in the new file?
If you want to change the file name just use Range("B6") here instead of the hard-coded "\Column.DAT".
MyHero
I thought that was pretty straightforward - how do you want the data to appear in the new file?
New line for each piece of data - which appears to be what you want.
Delimited by something, which the code posted is actually doing - using vbCrLf as the delimiter to force a new line.