The common steps in building any query against a database involve establishing a connection to an external data source. This source can be a 'formal' source such as a Access database, a dbase or a FoxPro database, or a SQL database such as MySQL, a Oracle SQL database, or a Microsoft SQL database. More important for us is that the data source can be another Excel file!
To get the external data start with
Data | Get External Data ► New Database Query...
Specify the source as an Excel file and make sure that the 'Use the Query Wizard to create/edit queries' checkbox is unchecked. The reason is that the Wizard does not know how to link different tables.:
At this point MS Query will display a dialog box asking for the workbook containing the data. Find it on the hard disk and select it.
From this point the steps to create a query are query-specific.