That's because you don't do it that way.
Try this:
Click File | Get External Data | Import
In the dialog box, make sure to choose ODBC Databases as the file type.
It will then open the ODBC Data Source box.
When it's all done, the data imported will be imported as a table.
Hope this helps,
grep
> I just upgraded to office 2007 and I am trying to link/import an external
> database via ODBC but I'm not finding this option when I try to create a new
> table.