To specify a data source for a relational database, text file database, or Microsoft Excel list, click the Databases tab.
To specify an OLAP cube data source, click the OLAP Cubes tab. This tab is available only if you ran Microsoft Query from Microsoft Excel.
If you don't see the database you want, you may need to install the ODBC driver or data source driver for your data source.
How?
For relational databases, text file databases, and Excel lists, the information you provide depends on the type of database selected. You may be asked to supply a logon name, a password, the version of the database you're using, the database location, or other information specific to the type of database.
For Microsoft SQL Server OLAP Services data sources, follow the steps in the Multi-Dimensional Connection Wizard.
When you complete these steps, the name of your data source appears in the Choose Data Source dialog box.