data ribbon->From other sources -> microsoft query.
Or you might want to use the data connection wizard. Either way, you will end up in MSQuery engine which is a graphical query builder the same as in Access.
Once you have connected to the data source, you can select the tables / columns you want, test the query a bit, etc, then return the results to Excel by clicking on the little door icon (just to the right of the old school save disk icon).