I assume you want to save files found from Sample Data folder into single JMP table named Sample Data.jmp which is on the same level as the folder.
Names Default To Here(1);
xlsx_dir = "$DOWNLOADS/JMP example/Sample data/";
dir = Convert File Path(xlsx_dir, posix);
dts = Multiple File Import( // will return a list
<<Set Folder(xlsx_dir),
<<Set Excel Best Guess(0),
<<Set Excel Has Headers(0)
) << Import Data;
dt = dts[1]; // basically you should end up with just a single file
// drop 1 level lower in path
root_dir = Word([1 -2], dir, "/\") || "/";
foldername = Word(-1, dir, "/\");
dt << Save(root_dir || foldername || ".jmp");
Modify as needed, this provides some ideas on how to "traverse" the directory path using Word()
-Jarmo