You could remove the nested IF
s by:-
Sub Kill_Files()
Dim fname As String
fname = Dir$(ThisWorkbook.Path & "\*.*")
Do While Len(fname) > 0
If Not (Left(fname, 10) = "AAAAAAAAAA" _
Or Left(fname, 10) = "BBBBBBBBBB" _
Or Left(fname, 10) = "CCCCCCCCCC" _
Or Left(fname, 10) = "DDDDDDDDDD") Then
MsgBox fname '<-- change this back to a Kill to see the code in action
End If
fname = Dir$
Loop
End Sub