Jonathan,
Thank you for posting your question here in Eggheadcafe.
As to your question without knowing how your data is laid out and what you are actually looking for I can offer you a Pivot table to compile all your data provided that the data or set up the same way on each sheet.
Because the sheet names are JAN.FEB.MAR.... and so on I am assuming that the rows and colums are the same.
The Pivot table can be used for one sheet or many. I would try it on one sheet first to see if that is what you are looking for, and then when i felt comfortable using it try ALT+D P for the multi page Pivot table wizard and follow the on screen helper.
If this is not what you want.
There is a Filter feature in Excel it is located under the DATA tab in 2010. you may have to select the range or by default it will select the colums for you.
Can you upload your work for us to see, would help a great deal.
Thanks again Don