On the Data menu, point to Import External Data, and then click Import Data.
That opens the Select Data Source dialog box. See Figure 2. The first time you open this dialog box you'll create a new data source, so click the New Source button at the bottom right of the dialog box.
That will open the Data Connection Wizard, which you will use to make the connection to your external data source. In the first step of the wizard, you decide what kind of connection to make.
In the next part of the course you'll see how to use the wizard to make three different kinds of connections: an ODBC DSN connection, a Microsoft SQL Server connection, and a Microsoft SQL Server OLAP Services connection. Your system administrator can tell you which of these connection types you should use.