Make sure that the folder you want to put the files in already exists:

Option Explicit
Sub CreateFiles()

   Dim wks As Worksheet
   Dim iRow As Long
   Dim myHeader As String
   Dim myFolderName As String
   Dim FileNum As Long
   
   myFolderName = "C:\temp\"
       
   Set wks = Worksheets("sheet1")
   
   myHeader = "Some Header Information here"
   
   FileNum = FreeFile
   With wks
       For iRow = 1 To .Cells(.Rows.Count, "B").End(xlUp).Row
           Close #FileNum
           Open myFolderName & .Cells(iRow, "A").Value For Output As FileNum
           Print #FileNum, myHeader
           Print #FileNum, .Cells(iRow, "B").Value
       Next iRow
   End With
   
   Close #FileNum
   
   MsgBox "Done."
   
End Sub