Create a Connecte Without an ODC File

Excel 2010

I want to create a connection to a SQL server to populate Excel sheets. I know how to create an ODC file using Data -> Connections to acomplish this. However I do not want to use an ODC file. I want the connection string and query to be stored in the Excel file. I know this is possible since there are other Excel documents on our network set up this way. I can not however figure out how to do it.

Thanks!