This feature is available only for shared workbooks.

Merge workbooks
Make sure the copies of the shared workbook that you want to merge are all
stored in the same folder. To do this, you must give each copy a different name.
Open the copy into which you want to merge changes.
On the Tools menu, click Compare and Merge Workbooks.
If prompted, save the workbook.
In the Select Files to Merge into Current Workbook dialog box, click a copy that
has changes to be merged, and then click OK.
To merge more than one copy at the same time, hold down CTRL or SHIFT and click
the file names, and then click OK.

Gord Dibben  MS Excel MVP