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Default MS Query

I'm running Excel 2000. I was reading somewhere that I can type a SQL query
directly into the Excel OLE DB Query dialog box command text field, but I
can't see how to do that at all following the sequence to get external data.
I start at Data, Get External Data...it seems the only relevant choice is New
Database Query...but, I don't see any such access to a query dialog box
command text field where I could type in my SQL. Exactly how would I do this?
 
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