[vba] Why can't I define my workbook as an object?

You'll need to open the workbook to refer to it.

Sub Setwbk()

    Dim wbk As Workbook

    Set wbk = Workbooks.Open("F:\Quarterly Reports\2012 Reports\New Reports\ _
        Master Benchmark Data Sheet.xlsx")

End Sub

* Follow Doug's answer if the workbook is already open. For the sake of making this answer as complete as possible, I'm including my comment on his answer:

Why do I have to "set" it?

Set is how VBA assigns object variables. Since a Range and a Workbook/Worksheet are objects, you must use Set with these.