I'm frequently running into the "FIrewall" error when creating queries that merge data from different workbooks. Drives me nuts. There seems to be no consistency either. Sometimes it works - sometimes not. It makes sharing these workbooks a pain but I have to tweak everyones settings. I'm really not appreciating the use case this feature was intended for, but I think it would make more sense to expressly turn it on when/if you need it instead of making it the default.