We have a user who, suddenly started getting a message that her Data Connections were disabled. This started happening when she created a copy of an existing sheet (previously created in Excel 2003) and saved it as the latest version.
The reason for this, is because Excel 2007 and 2010 have an improved security context, and in her case was not trusting any documents from the network.
More information on this feature here: Microsoft: Managing Excel Services
My resolution was to add the file location to the list of trusted sources in the Trust Center of MS Excel 2010. This can be found, by going to the File menu, then selecting Options. Inside here, you should be able to click Trust Center, then The Trust Center button. Finally, select Trusted Locations and update the list to add your file locations.