Heh... I've seen lot's of folks do it... they sit there with the spreadsheet open and try to run the code to populate. That will give such an error.
Also, you have to enable the server to do "ad hoc" queries. There's a registry entry that must be changed for that... I don't remember what the entry is, but I do remember it was a fairly easy Google.
Also, the server must have privs to C:\Temp because it will use some of that directory to do some of it's work. By default, the server doesn't have such access, if I recall correctly.
--Jeff Moden
Change is inevitable... Change for the better is not.