Pivot Tables ( Consolidating multiple sheets)

Pivot Tables can be tricky to new users but probably THE MOST POWERFUL thing in Excel.
This week I was stumped on how to consolidate using Excel 2010 when creating a Pivot.
When you go to Insert Pivot, there are now NO OPTIONS to get your data from a set of multiple worksheets. So unless you consolidate first it seemed a no go .

However upon researching it the only way to get the Excel 2003 options for Pivot Wizard is to use a magic shortcut :

ALT D then P, then you get the typical Pivot Table Wizard screen with mutiple sheet options, HEY PRESTO !

Insert Pivot only gives you these options in 2007 and 2010:

thanks !

JJ