Sub RespFilterDenied()
    Dim c As Range
    Dim Rng As Range
    Dim lr As Long
        
        lr = Cells(Rows.Count, "R").End(xlUp).row
        Set Rng = Range("A1:X" & lr)
        
        Range("W1:W" & lr).AdvancedFilter Action:=xlFilterCopy, CopyToRange:=Range("AM1"), Unique:=True
        
        For Each c In Range([AM2], Cells(Rows.Count, "AM").End(xlUp))
            With Rng
                .AutoFilter
                .AutoFilter field:=23, Criteria1:=c.Value
                .SpecialCells(xlCellTypeVisible).Copy
                Sheets.Add(After:=Sheets(Sheets.Count)).Name = c.Value
                ActiveSheet.Paste
                For Each R In ActiveWindow.RangeSelection.Rows
        R.RowHeight = 36
Next R
            End With
        Next c
        Sheets("Sheet1").Delete
        ActiveWorkbook.Save
        ActiveWorkbook.Close
End Sub
Solution:
Sub RespFilterDenied() 
    Dim c As Range 
    Dim Rng As Range 
    Dim lr As Long 
    Dim fn as string
    Dim clientName as string
    Dim cityName as string
     
    lr = Cells(Rows.Count, "R").End(xlUp).row 
    Set Rng = Range("A1:X" & lr) 
     
    Range("W1:W" & lr).AdvancedFilter Action:=xlFilterCopy, CopyToRange:=Range("AM1"), Unique:=True 
     
    For Each c In Range([AM2], Cells(Rows.Count, "AM").End(xlUp)) 
        With Rng 
            .AutoFilter 
            .AutoFilter field:=23, Criteria1:=c.Value 
            .SpecialCells(xlCellTypeVisible).Copy 
            Sheets.Add(After:=Sheets(Sheets.Count)).Name = c.Value 
            ActiveSheet.Paste 
            clientName = Range("E2").value
            cityName = Range("I2").value
            For Each R In ActiveWindow.RangeSelection.Rows 
                R.RowHeight = 36 
            Next R 
        End With 
    Next c 
    Sheets("Sheet1").Delete 
    fn = "D:\" & clientName & "\" & cityName & "\" & format(date,"mmmm") & "\" & replace(date,"/","-") & "\" & cityName & ".xlsx"
    ActiveWorkbook.SaveAs fn, xlWorkbookNormal
    ActiveWorkbook.Close 
End Sub
Obtained from the OzGrid Help Forum.
Solution provided by Trunten.
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