I have been wondering how to do this recently for one of my own projects and then the subject came up internally.  A very unassuming Hovsep then wrote up the answer, so as a tip here it is - if you follow the link at the bottom you will see a step by step process with screen shots to help you along the way. 

Excel 2007 - How to connect to and import data from an XML Web Service

Many organizations have adopted a Service-Oriented Architecture (SOA) as the architecture of choice. SOA allows a company to expose its services and data in a manner that is compliant with industry standards. SOA is the buzzword these days. Down the wire of SOA is XML data that is exchanged between entities.

Microsoft Office Excel 2007 has built-in features that allow a user to connect to and consume XML data. Such data can be stored in an XML file on the local hard drive, shared in a portal or returned from an XML Web Service.

If you’d like to use Excel to import XML data from a Web Service, follow these step-by-step guidelines. For the sake of simplicity, this document will be using a web service that is available on the Internet called Teach a Techie (http://teachatechie.com). This web service has a function named GetLocation and the URL we’ll be using is http://teachatechie.com/GJTTWebServices/ZipCode.asmx/GetLocation?ZipCode=11413

Go to Hovsep uses SQL Server for Development : Excel 2007 - How to connect to and import data from an XML Web Service for all the details

ttfn & thanks to Hovsep.

David