Building on @chrisneilsen 's solution, here'a more compact code:
Option Explicit
Public Sub myImport()
    Dim sPathName As String, sFileName As String
    Dim targetSht As Worksheet
    Set targetSht = ActiveWorkbook.Worksheets("Master UTP")
    sPathName = ThisWorkbook.Path & "\"
    sFileName = Dir(sPathName & "*.xls", vbNormal)
    Do While Len(sFileName) > 0
        If sFileName <> targetSht.Parent.Name Then
            On Error Resume Next
            With Workbooks.Open(sPathName & sFileName)
                .Sheets("UTP").Copy After:=targetSht
                .Close False
            End With
            On Error GoTo 0
        End If
        sFileName = Dir
    Loop
End Sub
which should be even slightly more compacted if it can be safely assumed that ActiveWorkbook is a "macro" one, i.e. with a "xlsm" type in its name, so that it can never match any "xls" name:
Option Explicit
Public Sub myImport()
    Dim sPathName As String, sFileName As String
    Dim targetSht As Worksheet
    Set targetSht = ActiveWorkbook.Worksheets("Master UTP")
    sPathName = ThisWorkbook.Path & "\"
    sFileName = Dir(sPathName & "*.xls", vbNormal)
    Do While Len(sFileName) > 0
        On Error Resume Next
        With Workbooks.Open(sPathName & sFileName)
            .Sheets("UTP").Copy After:=targetSht
            .Close False
        End With
        On Error GoTo 0
        sFileName = Dir
    Loop
End Sub
Finally, you could appreciate eliminate the flickering at any xls file opening, so you maight enclose the loop inside Application.ScreenUpdating = False/True statements:
Option Explicit
Public Sub myImport()
    Dim sPathName As String, sFileName As String
    Dim targetSht As Worksheet
    Set targetSht = ActiveWorkbook.Worksheets("Master UTP")
    sPathName = ThisWorkbook.Path & "\"
    sFileName = Dir(sPathName & "*.xls", vbNormal)
    Application.ScreenUpdating = False
    Do While Len(sFileName) > 0
        On Error Resume Next
        With Workbooks.Open(sPathName & sFileName)
            .Sheets("UTP").Copy After:=targetSht
            .Close False
        End With
        On Error GoTo 0
        sFileName = Dir
    Loop
    Application.ScreenUpdating = True
End Sub