Depois de muito pesquisar no Google, encontrei este código de exemplo fornecido por Bryan Duchesne no MSDN:
Sub TestSqlConnection()
Dim sqlstring As String
Dim connstring As String
Dim sLogin As String
sLogon = "Uid=myUserID;Pwd=myPassowrkd;"
sqlstring = "select * from zitemloc"
connstring = "ODBC;DSN=myDSN;" & sLogon
ActiveSheet.Range("B1:t2000").Clear
Dim qt As QueryTable
For Each qt In ActiveSheet.QueryTables
qt.Delete
Next qt
With ActiveSheet.QueryTables.Add(Connection:=connstring, Destination:=Range("B1"), Sql:=sqlstring)
.BackgroundQuery = False
.Refresh
End With
Set qt = ActiveSheet.QueryTables(1)
Dim rowCount As Integer
rowCount = UBound(qt.ResultRange.Value)
Dim ix, iy As Integer
Dim data As Variant
Dim colCount As Integer
colCount = qt.ResultRange.Columns.Count
For ix = 1 To rowCount
If Not IsArray(data) Then
ReDim data(rowCount - 1, colCount - 1)
End If
For iy = 1 To qt.ResultRange.Columns.Count
data(ix - 1, iy - 1) = qt.ResultRange.Value2(ix, iy)
Next
Next
End Sub
