Untested, but it did compile ok:

Option Explicit
Sub testme01()

   Dim DataWks As Worksheet
   Dim TempWks As Worksheet
   Dim myRng As Range
   Dim myCell As Range
   Dim DestCell As Range
   Dim myPath As String
   
   myPath = "C:\temp"
   If Right(myPath, 1) <> "\" Then
       myPath = myPath & "\"
   End If
   
   'change to match the already opened files!
   Set DataWks = Workbooks("someworkbookname.xls").Worksheets("sheet1")
   Set TempWks = Workbooks("someotherworkbook.xls").Worksheets("sheet2")
   
   Set myRng = DataWks.Range("a2:A140")
   
   Set DestCell = TempWks.Range("C4")
   
   For Each myCell In myRng.Cells
       With DestCell
           .Value = myCell.Value
           .Parent.SaveAs Filename:=myPath & .Value & " PFSR Overview.xls", _
               FileFormat:=xlWorkbookNormal
       End With
   Next myCell

End Sub

There is no validation in this routine.  Make sure you have good names in
A2:A140.

Change myPath to the folder that gets the files.
Open both workbooks and change these lines:
   Set DataWks = Workbooks("someworkbookname.xls").Worksheets("sheet1")
   Set TempWks = Workbooks("someotherworkbook.xls").Worksheets("sheet2")
to what fits.

If you're new to macros, you may want to read David McRitchie's intro at:
http://www.mvps.org/dmcritchie/excel/getstarted.htm

But I have no idea how you get 765 files from data in A2:A140.  That looks more
like 139 files to me.