I noticed that and corrected it. Here is the url I am passing:
http://finance.yahoo.com/q/hp?s=^DJI&a=1&b=14&c=07&d=1&e=20&f=07&g=d&ignore=.csv

If I paste this url into the address box on the Data/Import External Data/Edit Query box and try to 'Import' onto a new blank worksheet, I get the 'File could not be accessed' error followed by 'Invalid Web Query'.

The url gets out to Yahoo and retrieves the data. Excel just won't import it because of some file access problem (error 1004).

Are there any other http parameters that will correct this?