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How many sheets can be consolidated?

If the option to combine all the sheets in one workbook and to link them with the total is selected the limit will come from the size of the formula in Excel. This size is 1024 characters in Excel 2003 and 8192 in Excel 2007. If the names are very long the number of sheets will also be reduced. But with 2 digits names from the same workbook Excel 2003 can consolidate around 75 sheets. 

If the option to link the total and the details is not selected it then depends on how much memory is available.

Can I have several level of consolidation?

Yes, first consolidate all the lowest levels (N-2) into their superior level (N-1) and again consolidate the N-1 together to get level N. (i.e. consolidate first all cost-centers of each division and then all divisions to have the total company).
Note:   It’s recommended to uncheck the "Use comments" and the "With all sheets and links" options in the lowest levels. The consolidation report sheet called "ConsoXL" will be automatically ignored.

Do I need to remove all empty sheets?

No, all empty sheets are ignored. Empty sheet means a sheet where all cells are empty, not a sheet which has not been fullfilled. The last one may have an influence on the consolidation but in practice it's not a problem if you leave it.

Some Excel files have the yellow cross, meaning I need to enter a password, but I did not put password

If one of the sheet has a protection (could be cell protect or whatever) which has been set, this will be detected when you add the file, or when you reload a project, if the protection has just been activated by leaving the password blank then there is no need to enter a password.

Can ConsoXL change something in my files?

No, ConsoXL loads all files in "read-only" mode, so no change can be made to your files.

Sometimes it takes long for Excel to start, why is this?

This may happen if you have a lot of programs running (outlook, web browser etc.)  and generally if you have used a lot your PC.  Close as much application as you can and this should improve. If you use ConsoXL just after a restart this should not happen. On the technical side it's linked with fragmented memory.
Another reason for Excel to take a longtime to start is if there are a lot of extensions to load at startup, and if you have a customised default spreadsheet in the XLSTART directory.

I don't understand some error messages during consolidation.

If an error occurs during the consolidation, very often due to wrong password entry, it's that something went wrong with Excel. ConsoXL communicates directly with Excel and if something happens you will receive the message that Excel generally gives you when you are working directly with it. For example you can receive a "check for caps lock..." during the consolidation, this looks strange at first because it's out of context, now if you know that this is because ConsoXL asked Excel to load a file which is password protected but the password entered is wrong it becomes clearer.