I am working on a tool in Excel to rapidly validate data updates to a set of databases.
In Sheet 1, I will have the source data, which consists of 5 columns; Column A is the Primary Key. This is delivered as a CSV and copy/pasted into the sheet.
In Sheet 2, I would like to have a data connection to the database machine that filters on the values of Sheet 1, Column A, such that only those Primary Keys in Sheet 1 will be returned and displayed.
I have tried looking at setting Parameters in the Connection Properties dialog, but the button is disabled:

Thank you in advance.
EDIT: This is Excel 2010, and this image shows the method I used to create the connection on Sheet 2:

EDIT 2: Attempted to use Microsoft Query to create the connection, but it remains disabled.

You can only add and manage Query Parameters in Excel by using Microsoft Query. So when you create the Connection, on the “From Other Sources” button-dropdown, select “From Microsoft Query” instead of “From SQL Server” (or any other source).