Code Linked To Data From Another File

I need to link my code to data from a different Excel file. I feel it is smth simple, i just have never done this before. In a regular (=same file) setting, my code would be smth like that:

With Worksheets("Daily1")
j = 1
Do Until IsEmpty Range("A6").Offset(j - 1, 0).Value)
j = j + 1
Loop
m = j
End With

What would be the syntax if data instead comes from, say, Z:Brazildata.xls. In general, when I retrieve data from another file, do I always have to use "With - End With" structure?