Florent:
In SAS 8.2, you only have ODS HTML available to you. By default, ODS HTML will create one worksheet for EVERY ODS sandwich:
[pre]
ods html file='allinone.html' style=sasweb;
proc print data=file1; run;
proc print data=file2; run;
proc print data=file3; run;
ods html close;
[/pre]
However, using Microsoft's design for linking separate HTML files together, you can make one workbook that uses each HTML file for a separate worksheet., as described in these previous forum postings (sorry, I don't know how "easy" this is -- but I have made it work):
http://support.sas.com/forums/thread.jspa?messageID=18828䦌
http://support.sas.com/forums/thread.jspa?messageID=8132ῄ
http://support.sas.com/forums/thread.jspa?messageID=12780 (#2 item)
cynthia