Since it is using OLE, you can connect to whatever data source you want.

Below is a brief list of sources to connect to:

Data Source Sample Connection String
UDL File Name={path.udl}
Sybase Provider=Sybase.ASEOLEDBProvider;Server Name=thisservername,5000;Initial Catalog=thisdb;User Id=thisusername;Password=thispassword
SQL Server Provider=sqloledb;Data Source=thisservername;Initial Catalog=thisdb;User Id=thisusername;Password=thispassword;
Provider=sqloledb;Data Source=thisservername;Initial Catalog=thisdb;Integrated Security=SSPI;
Oracle Provider=msdaora;Data Source=thisdb;User Id=thisusername;Password=thispassword;
Provider=msdaora;Data Source=thisdb;Persist Security Info=False;Integrated Security=Yes;
MySQL Provider=MySQLProv;Data Source=thisdb;User Id=thisusername;Password=thispassword;
Informix Provider=Ifxoledbc.2;User ID=thisusername;password=thispassword;Data Source=thisdb@thisservername;Persist Security Info=true
FoxPro Provider=vfpoledb.1;Data Source=c:\directory\thisdb.dbc;Collating Sequence=machine
Firebird User=SYSDBA;Password=thispassword;Database=thisdb.fdb;DataSource=localhost;Port=3050;Dialect=3;Charset=NONE;Role=;Connection lifetime=15;Pooling=true;MinPoolSize=0;MaxPoolSize=50;Packet Size=8192;ServerType=0
Exchange oConn.Provider = “EXOLEDB.DataSource” oConn.Open = “http://thisservername/myVirtualRootName”
Excel Provider=Microsoft.Jet.OLEDB.4.0;Data Source=C:\thisspreadsheet.xls;Extended Properties='”Excel 8.0;HDR=Yes;IMEX=1″‘
DBase Provider=Microsoft.Jet.OLEDB.4.0;Data Source=c:\directory;Extended Properties=dBASE IV;User ID=Admin;Password=
DB2 Provider=IBMDADB2;Database=thisdb;HOSTNAME=thisservername;PROTOCOL=TCPIP;PORT=50000;uid=thisusername;pwd=thispassword;
Access Provider=Microsoft.Jet.OLEDB.4.0;Data Source=\directory\thisdb.mdb;User Id=admin;Password=;

You can access a lot more sources. Here is a list of sources you can check against:

Connection Strings

Another thing is that if you wanted to put a where clause in your statement to limit the data that is being returned, the forth argument in the Database Lookup functiod is the place to put it. BEWARE, you need to make sure that the column that you are matching with the first argument is correct.