Point 1 - the Excel application object has a property DisplayAlerts. Set this to False before the line of code to close the file, and True just after. This will suppress the "Save changes?" prompt.
Point 2 - you'll need to use a loop and a counter:
Code:
intCount = 1
Do Until [test that no more files need to be created]
Open "C:\Corridor Analysis\" & right("000" & intCount, 3) & ".txt" For Output As #1
Print #1, theclipboard
Close #1
intCount = intCount + 1
Loop
Good luck!