OK in fact you can use MS Query (if it has been installed) to do the ODBC
connection, but there can be problems and if you haven't used it before,
there are a lot of dialog boxes.

Let's just go the VBA route for now.

First (whatever you do) you need an Excel ODBC DSN. There will probably be
one on your system already called "Excel Files" (it depends on the version
of Windows as well I think). You should be able to check in Control
Panel|Administrative Tools|Data Sources (ODBC) or similar and create one if
necessary.
Let's assume the DS is "Excel Files", your workbook is
c:\myworkbooks\mywb.xls, and the Sheet is called "Consolidated New" (no full
stop in theend in my example)

Then try

Sub mysub()

 ActiveDocument.MailMerge.MainDocumentType = wdNotAMergeDocument
 ActiveDocument.MailMerge.MainDocumentType = wdFormLetters
 ActiveDocument.MailMerge.Destination = wdSendToNewDocument

 ActiveDocument.MailMerge.OpenDataSource _
   Name:="", _
   Connection:="DSN=Excel Files;DBQ=c:\myworkbooks\mywb.xls;", _
   SQLStatement:="SELECT * FROM [Consolidated New$]"

End Sub

That will get the whole sheet. If you need to specify a particular range of
cells, make sure that the first row in the rnge contains column headings,
then add the range in A1:Xn notation, e.g. for the first 3 columns and 2
data rows in the spreadsheet, use

   SQLStatement:="SELECT * FROM [Consolidated New$A1:C3]"

The SQL dialect is Jet (Access) SQL so you can select columns, do WHERE
clauses, all the usual stuff.

If you're not that familiar with VBA, see also

ttp://word.mvps.org/FAQs/MacrosVBA/CreateAMacro.htm

Peter Jamieson