SQL Server Error - CONNECTIONSTRING PROPERTY HAS NOT BEEN INITIALIZED

I am trying to export a the results of a SQL query into Excel. I found this YouTube video that shows how to achieve this (https://www.youtube.com/watch?v=xCyZNY0isUM).

Following these instructions, I right click on my database, go to Tasks > Export. The wizard launches. I pass the initial page, and I get to the "Choose a data Source". I leave the default (.Net Framework Data Provider for Odbc) and click "Next". Here, I get this error message:

THE CONNECTIONSTRING PROPERTY HAS NOT BEEN INITIALIZED. (System.Data).

Thank you for your help.