What version of Excel are you using?
In Excel 2007:
1. "DATA" from the ribbon
2. from the "Connections" group, select "Connections"
3. select "ADD" from the "Workbook Connections" dialog box
4. select "Browse for More..."
5. select "New Source"
6. select "Other/Advanced"
7. Click "Next"
8. Choose "Microsoft OLE DB Provider for ODBC Drivers"
9. Click "Next"
10. Select "Use connection string"
11. Click "Build"
12. ...
Somewhere in here is where I get lost and
have to resort to trial and error, and error, and...
There is probably an easier way, but I have only used this technique once.