Just swap your code around a bit so you open and close a text file inside of the Do ... Loop, something like this:
Code:
Dim rs As DAO.Recordset
Dim sPath As String
sPath = "C:\temp\" ' just have the directory here
Set rs = CurrentDb.OpenRecordset("FEDINCOUNT")
Do Until rs.EOF
Open sPath & rs("FedEIN") & ".txt" For Output As #1
FEDEIN = rs("FedEIN")
Print #1, FEDEIN
Close #1
rs.MoveNext
Loop
Close #1
rs.Close
Set rs = Nothing
BTW it's much safer to use FreeFile rather than #1 for your file numbers.
rgds
Phil