I use the Link Data to Shapes wizard in Visio Professional almost everyday, but I have not really bothered to use the Office Data Connections (ODC) files much, probably because there is no easy way of creating them in Visio. However, the Data Connection wizard does allow you to use previously created ODC files. So, I thought I’d document the easiest way I know of creating them … using Excel!
In fact, Excel and Reports can use ODC files too. See http://blogs.office.com/b/microsoft-excel/archive/2008/10/15/using-office-data-connection-files-odc-and-the-dataconnections-web-part-in-sharepoint-to-specify-external-data-connections-in-newly-created-excel-workbooks.aspx
In Excel, select Data \ From Other Sources \ From Data Connection Wizard …