At work I can select multiple .xlsx files, and right clicking on one file will give me the option of combining the files to make a .pdf. Now I want to use the same functiona
This is really a Windows question and not very specific to Python. You want the windows shell to show a menu item for your script in the shell context menu.
To accomplish this, you can add some keys to the registry. See Add menu item to windows context menu only for specific filetype for an explanation of how to add your menu item.
After that, when you select multiple files and send them to your script, you will see the files as command line arguments. If you select 10 files, the script will be ran 10 times.