■

単純に左側が空白かどうかで１列目を判断。
（Ａ列は左が空白じゃないので除外）
保存フォルダの行にフルパスが入っているとして、該当フォルダが無ければ作成。

Sub Macro()
    Dim r As Long
    Dim c As Long
    Dim FSO
    Dim TS
    Dim filName As String
    Dim foldPath As String
    
    Set FSO = CreateObject("Scripting.FileSystemObject")
    
    If Selection.Column > 1 Then
        If Selection.Offset(0, -1).Value = "" Then
            r = Selection.Row
            c = Selection.Column
            While Cells(r, c).Value <> ""
                foldPath = Cells(r, c).Value
                If Not FSO.FolderExists(foldPath) Then
                    FSO.CreateFolder foldPath
                End If
                While Cells(r + 1, c).Value <> "終了"
                    r = r + 1
                    filName = Cells(r, c).Value
                    
                    Set TS = FSO.OpenTextFile(foldPath & "\" & filName, 2, True)
                    r = r + 1
                    While Cells(r, c).Value <> ""
                        TS.WriteLine (Cells(r, c).Value)
                        r = r + 1
                    Wend
                    TS.Close
                Wend
                c = c + 1
                r = Selection.Row
            Wend
        Else
            MsgBox "正しいセルを選択してください"
        End If
    Else
        MsgBox "正しいセルを選択してください"
    End If
    Set FSO = Nothing
End Sub