Easy mistake to make!
On your filter, click the 'Custom Value List' tab. Type in the value that matches your parameter for when you want that sheet to be shown, and then click the small 'X' on the right of that box to add it to the list.
Do this for each sheet, and you should be set!
I tried that, but I can only select HIP Data (or whatever else is the current value in the Parameter) when I try to make a custom list. If I try to add HHW Data to the Custom value list, it says No Matches.