It's more robust if you don't break and just check for existence and let it finish the loop. For example, what if all the files are there except the February file? If you broke out, you'd never process the March file or any files in subsequent years. It doesn't take long at all to check filenames for existence. If you want, you could also call warndlg() if there is a missing file. And a1 gets overwritten on each iteration in your loop, so I assume that there's some processing that goes on in the loop that you didn't show.
Try it this way, using braces instead of char(), and using exist(), sprintf(), and fullfile():
months={'Jan', 'Feb', 'Mar', 'Apr', 'May', 'Jun', 'Jul', 'Aug', 'Sep', 'Oct', 'Nov', 'Dec'};
for theYear = 2010:2012
for theMonth=1:length(months)
baseFileName = sprintf('%s%d.xls', months{theMonth}, theYear);
fullFileName = fullfile('P:\X\Data\', num2str(theYear), baseFileName)
if exist(fullFileName, 'file')
a1 = xlsread(fullFileName, 'Sheet1', 'X5:X5000');
end
end
end
