Unless you are an 'sa' you probably will get this error.

Fix it by adding this setting to the registry.

Value Data
DisallowAdHocAccess 0

--
-- Quickly check your registry settings running this on SQL 2005+ servers

EXEC master..xp_regenumvalues 
                        'HKEY_LOCAL_MACHINE',
                        'SOFTWARE\Microsoft\Microsoft SQL Server\<instance>\Providers\MSDASQL'

-- or on SQL 2000

EXEC master..xp_regenumvalues 
                        'HKEY_LOCAL_MACHINE',
                        'SOFTWARE\Microsoft\MSSQLServer\Providers\MSDASQL\'