What data source types (Access, Excel, SQL, FoxPro, Oracle, SPSS, SAS, etc.) are available when you open a new Data Connection window is determined by what ODBC or OLE DB drivers are installed on your computer. If one that you'd like to use is missing, you'll likely need to go to that manufacturer's website and download the installer for those drivers. The good news is that these are free! Here are a few links that I've collected that may get you started...

Microsoft Office components (Excel, Access): http://www.microsoft.com/downloads/details.aspx?familyid=7554F536-8C28-4598-9B72-EF94E038C891&displaylang=en
MySQL: http://dev.mysql.com/downloads/connector/odbc/
Oracle: http://www.oracle.com/technology/software/index.html
Oracle: http://www.oracle.com/technology/software/tech/windows/odbc/index.html
SAS: http://www.sas.com/apps/demosdownloads/oledbproviders_PROD_9.1.3_sysdep.jsp?packageID=000366
SPSS: http://www.spss.com/drivers/clientSPSS.htm