Ok here is the code. I realized I was getting the error because my code didn't know which directory to find the files. I am no longer getting the error. But for some reason my looping doesn't work. It doesn't get to all of the files...
Sub Merge()
'
' Merge Macro
' Macro created 10/22/2003 by ssga
'
Dim strcurrentfilename As Variant
Dim Wrd As Word.Application
Dim newcurrentfilename As String
Dim firstnine As String
Dim originalfilename As String
Dim lastfile As String
Dim files As String
Dim i As Integer
Dim currentpathname, currentfilename As String
Set Wrd = CreateObject("Word.Application"

ChDrive "F:"
ChDir "F:\HNW-IT\Team Folders\Ursula\ConsentTesting\Files\"
currentpathname = "F:\HNW-IT\Team Folders\Ursula\ConsentTesting\Files\"
currentfilename = Dir(currentpathname, vbDirectory) 'Retrieves the first entry in the folder
lastfile = ""
Do While currentfilename <> ""
If currentfilename <> "." And currentfilename <> ".." Then
If (GetAttr(currentpathname & currentfilename) And vbDirectory) <> vbDirectory Then 'makes sure the object is a file
If Right(currentfilename, 3) = "doc" Then
'If first 9 chars of current file name ARE NOT the same as the last one
If Left(currentfilename, 9) <> lastfile Then
'save and close any open file
Word.ActiveDocument.SaveAs Left(currentfilename, 9), wdFormatDocument, False, "", True, "", False, _
False, False, False
Application.Documents.Close True
'open the next document
Application.Documents.Open currentpathname & currentfilename
'documents has same 9 digit prefix (lastfile),
Else
'If first 9 chars of current file name ARE the same as the last one
Selection.EndKey wdStory
Selection.InsertBreak wdSectionBreakNextPage
'Application.Documents.Open currentpathname & currentfilename
Word.ActiveDocument.SaveAs Left(currentfilename, 9), wdFormatDocument, False, "", True, "", False, _
False, False, False
Selection.InsertFile (currentpathname & currentfilename), "", False, False, False
End If
'loop to open next document with diff 9 digit sequence
End If
End If
End If
lastfile = Left(currentfilename, 9)
currentfilename = Dir 'this gets the next object in the folder
Loop
'this closes the final document
Application.Documents.Close True
End Sub