If you print to novaPDF the Entire Workbook multiple individual sheets of your Excel workbook, when you try to create a PDF and choose to print the Entire Workbook, each sheet will be saved as a different PDF file. This happens because one (or multiple) sheets in your workbook have a different dpi setting for printing. Because of this, Excel assumes that each individual sheet has to be sent for printing separately, so it will send it in the same way to the PDF printer which will prompt to create a PDF from each sheet.
This tutorial shows how to convert a Microsoft Excel spreadsheet to PDF. novaPDF is a PDF converter that allows creating PDF files from any Windows application that supports printing. If you don't have novaPDF installed, use the Download page to download and install it.