That message just means it can't take you back to the wizard. If you click OK to that message, it will open MS Query in another window. From there it looks very similar to an Access query.
You can enter your criteria using [Date] instead of an actual date, and it will prompt the user to enter the date.
When you get back into Excel (close the query screen), you can use Data > Get External Data > Parameters to specify a cell in the Excel sheet for the date parameter.
I hope that makes sense.
b.