I'd prompt user for a folder and then iterate over each file except the one with your macro.
To prompt for a folder use this solution (in my code as optional variant): link
Complete code below:
Sub Carga_Masiva()
Dim sh As Worksheet
Dim fName As String, wb As Workbook
fName = Application.GetOpenfnamename("Excel fnames (*.xl*), *.xl*")
Set wb = Workbooks.Open(fName)
For Each sh In wb.Sheets
    If Application.CountA(sh.Cells) > 0 Then
        sh.Copy Before:=ThisWorkbook.Sheets(1)
        Exit For
    End If
Next
wb.Close False
    
End Sub
Sub CopyToThisWorkbook()
    Dim wbMacro, wb As Workbook
    Set wbMacro = ThisWorkbook
    Dim sh As Worksheet
    Dim folderPath, fName, tabName As String
    
    folderPath = wbMacro.Path & Application.PathSeparator
    
    'Prompt variant
    'folderPath = GetFolder & Application.PathSeparator
    fName = Dir(PathName:=folderPath)
    
    Do
        Application.ScreenUpdating = False
        Application.DisplayAlerts = False
        
        'Open all files except the one with macro
        If fName <> wbMacro.Name Then
            'Your code
            Set wb = Workbooks.Open(wbMacro.Path & "\" & fName)
            For Each sh In wb.Sheets
                If Application.CountA(sh.Cells) > 0 Then
                    tabName = sh.Name & "_" & Right(wb.Name, 10) 'Optional - rename Worksheet to be copied
                    sh.Name = tabName 'Optional
                    sh.Copy Before:=wbMacro.Sheets(1) 
                Exit For
                End If
            Next sh
            wb.Close SaveChanges:=False
        End If
       
        fName = Dir
    Loop Until fName = ""
    
    Application.ScreenUpdating = True
    Application.DisplayAlerts = True
    
End Sub
Function GetFolder() As String 'Optional variant
    Dim fldr As fnameDialog
    Dim sItem As String
    Set fldr = Application.fnameDialog(msofnameDialogFolderPicker)
    With fldr
        .Title = "Select a Folder"
        .AllowMultiSelect = False
        .InitialfnameName = Application.DefaultfnamePath
        If .Show <> -1 Then GoTo NextCode
        sItem = .SelectedItems(1)
    End With
NextCode:
    GetFolder = sItem
    Set fldr = Nothing
End Function