Click 
to the right of the text box to select the directory where the file resides.
Select the table or query file from the list and choose the Next button (or double-click the table).
Data Module wizard, step one
Select the table or query whose data you want the data module to use. To proceed to the next step, you need to select a table or query file. To select a file,
Click to the right of the text box to select the directory where the file resides.
Select the table or query file from the list and choose the Next button (or double-click the table).
Dialog box options
Look in
The Look In drop-down box lists the last several directories you've had open. You can select one of these, or choose the Folder button to browse to the directory that contains the table or query you need.
Table and query file
When you select a directory, its tables are listed in the Table and Query File list box.