I wanted to do this also. Following are the steps I took.
I went into the registry and changed the folder name from My Data Sources to
hoohah.
Excel found hoohah in My Documents when I asked to Import Data.
I then moved hoohah out of My Documents to GordStuff folder.
When I went to Data>Import etc. Excel re-built hoohah in My Documents but any
queries I created were not there, they stayed with the moved folder.
Tried several times with differing names, but Excel or Windows re-builds the
folder in My Documents no matter what it is named.
And sticks the default MS Queries like the Stock Quotes and Money Central into
that folder.
With TweakUI you can change the location of Special Folders like My Documents
if you wish, but when I do, My Data Sources goes with it so not much point.
In short.......forget about it.
Add the folder where your sources and queries are stored to the My Places bar.
When My Data Sources opens, click on the folder name on My Places bar.
Makes browsing a lot quicker.
Gord Dibben MS Excel MVP