It may be a litter confused to configure the saving path, filename, and worksheet in the VLOOKUP function. This method will introduce a VBA to solve it easily.

1. Press the Alt + F11 keys to open the Microsoft Visual Basic for Applications window.

2. Click the Insert > Module, and then paste below VBA code into the opening module window.

VBA: Vlookup data and return values from another closed workbook

Private Function GetColumn(Num As Integer) As String
If Num <= 26 Then
GetColumn = Chr(Num + 64)
Else
GetColumn = Chr((Num - 1) \ 26 + 64) & Chr((Num - 1) Mod 26 + 65)
End If
End Function
Sub FindValue()
Dim xAddress As String
Dim xString As String
Dim xFileName As Variant
Dim xUserRange As Range
Dim xRg As Range
Dim xFCell As Range
Dim xSourceSh As Worksheet
Dim xSourceWb As Workbook
On Error Resume Next
xAddress = Application.ActiveWindow.RangeSelection.Address
Set xUserRange = Application.InputBox("Lookup values :", "Kutools for Excel", xAddress, Type:=8)
If Err <> 0 Then Exit Sub
Set xUserRange = Application.Intersect(xUserRange, Application.ActiveSheet.UsedRange)
xFileName = Application.GetOpenFilename("Excel Files (*.xlsx), *.xlsx", 1, "Select a Workbook")
If xFileName = False Then Exit Sub
Application.ScreenUpdating = False
Set xSourceWb = Workbooks.Open(xFileName)
Set xSourceSh = xSourceWb.Worksheets.Item(1)
xString = "='" & xSourceWb.Path & Application.PathSeparator & _
"[" & xSourceWb.Name & "]" & xSourceSh.Name & "'!$"
For Each xRg In xUserRange
Set xFCell = xSourceSh.Cells.Find(xRg.Value, , xlValues, xlWhole, , , False)
If Not (xFCell Is Nothing) Then
xRg.Offset(0, 2).Formula = xString & GetColumn(xFCell.Column + 1) & "$" & xFCell.Row
End If
Next
xSourceWb.Close False
Application.ScreenUpdating = True
End Sub

Note: This VBA will return values in a column which is 2 columns behind selected column. For example I select column B when applying this VBA, values will return in Column D. If you need to change the destination column, please find out the code xRg.Offset(0, 2).Formula = xString & GetColumn(xFCell.Column + 1) & "$" & xFCell.Row , and replace 2 to other number as you needs.

3. Press the F5 key or click the Run button to run this VBA.

4. In the opening dialog box, please specify the data range that you will look up, and click the OK button.

5. Now please select the workbook where you will look up values in the opening Select a Workbook dialog box, and click the Open button.

Now all selected values are looked up in the specified closed workbook, and corresponding values are returned at specified column. See screenshot: