If your SharePoint site supports browsing a document library with Windows Explorer,supports browsing a document library with Windows Explorer, do that first and then run the following snippet from within a code module in Excel.
The code loops through the library and captures any file with an XML file type:
Dim strFile As String
Dim strFileType As String
strFile = Dir("\\sharepoint.[yoursite].com@SSL\DavWWWRoot\[folder path that contains the InfoPath files]\")
Do While strFile <> ""
strFileType = Right(strFile, Len(strFile) - InStr(strFile, "."))
If strFileType = "xml" Then
Debug.Print strFile
'Do something here
End If
strFile = Dir()
Loop
InfoPath files are really just a cabinet file packaging a series of XML (and similar) files. If the actual InfoPath form is what you really need, then change the code above to look for the "xsn" file type.