Inserting a file isn't currently possible in Excel for the web. You can, however, insert a file in the Excel desktop app.
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To open the desktop app, at the top of the ribbon, select Editing > Open in Desktop App.
Don't have the Excel desktop app? Try or buy Microsoft 365.
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Choose where to insert the content of the file.
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On the Insert tab, select Object.
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Select From File.
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Choose the file to insert and select OK.