If your SharePoint site [supports browsing a document library with Windows Explorer,][1] 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.


  [1]: http://sharepoint.stackexchange.com/questions/27319/how-do-i-enable-open-in-explorer