Once you have set up each sheet how you would like it, is it really so
hard to click on a sheet tab then click the <print> icon, and do this
for each sheet you have? You could easily record a macro to do this for
you.

Pete

It seems like things got a lot easier in Excel 2007.  I've had the same
problem with numbering consecutive pages across worksheets in the same
workbook, but I had some success in 2007.  My workbook consisted of a series
of worksheets, each of which was a separate section in a report.  There was
also a cover page worksheet and a table of contents worksheet which occupied
the first two worksheets in the workbook.

To number all the pages, I inserted footers containing the "&Page" command
on all sheets on which I wanted the page # to appear.  (I omitted this for
the cover and contents pages.)

On the first page of the report (third worksheet), I used the Page Layout
tab, Print Titles button, Page tab of dialog box, First Page Number = 1.  
(You can also get to this dialog box through Print Preview>Page Setup.)

On subsequent worksheets, I left First Page Number as Auto.

This miraculously worked, so the entire report is in on Excel workbook, with
correct page numbers.

Hope this helps and isn't too confusing!

Larry