So if you select Excel Files* in the Databases tab you get the...
Select Workbook window. Select a workbook and you get the...
Query Wizard - Choose Columns: and you see a window that lists available tables (Sheets) and columns if you open any table. If you do not see your SHEET NAMES in the Add Tables Window, click the OPTIONS Button and check all boxes
Choose a Table/column(s) for you query.
From here I usually just get right to the Query Editor: [Next],[Next],[Next], View data or edit query in Microsoft Query, [Finish]
Now you're in the MS Query Editor/QBE Grid. If you're familiar with database programs, the Query editor has limited functionality, but you can still do quite a bit, especially using the SQL button to edit native SQL code.
After you've added your criteria, added/joined tables
File > Return data to Microsoft Excel.
What you have created is a QueryTable object in your sheet. In the Query Wizard there was a place to SAVE the query. The only reason that I know of to save the query, is if you wanted to use the same query in another workbook or worksheet. I usually do not save my queries. As long as the QueryTable object is in your Sheet, it's there and can be refreshed