Look in Help for Open Statement, Input Statement, Close Statement, etc...
Brief example:
Dim MyIndex, FileNumber
For MyIndex = 1 To 5 ' Loop 5 times.
FileNumber = FreeFile ' Get unused file number.
Open "TEST" & MyIndex For Output As #FileNumber 'Create filename.
Write #FileNumber, "This is a sample." ' Output text.
Close #FileNumber ' Close file.
Next MyIndex