Usually, if you are talking about an -existing- Excel workbook and you want to add a 3rd (new) sheet to an existing workbook, you would use either PROC EXPORT or the SAS Libname engine for Excel methods. (or you could use DDE methods to write to a new sheet in an existing workbook)
If you are talking about creating a new workbook, using ODS methods, then you would either:
1) use ODS TAGSETS.EXCELXP and create your output using TAGSETS.EXCELXP suboptions to explicitly names the sheets (in this scenario, you would actually create Sheet1, Sheet2 and Sheet3 in the same SAS program). or
2) use ODS TAGSETS.MSOFFICE2K_X and create separate HTML files that you will then link together using MSOFFICE2K_X suboptions
It really depends on what method you are using (or plan to use) to get your dataset from SAS to Excel. With the Export/Libname/DDE methods, you would use your SAS dataset directly to get the dataset (without titles, footnotes, any colors, fonts or formatting) into Excel. With ODS methods, you would typically use PROC PRINT or PROC REPORT to "list" your dataset's rows and columns in an Excel sheet - -with this method you could have titles, footnotes, colors and fonts in the output.