It was a simple fix, I was being stupid.
for root, dirs, files in os.walk("Approved_LRPMP_Worksheets/"):
for fyle in files:
if fyle.endswith(".xlsx"):
print "I found a file: " + fyle
fyleName = "Approved_LRPMP_Worksheets/"+fyle
book = xlrd.open_workbook(fyleName)
And its done