If the header of this post seems weird, check Microsoft's answer to problem XL97: Data Not Returned from Query Using ORACLE Data Source:

Between two resolution methods which at least sort of make sense, there's the following gem:

Method 2: Move Your Mouse Pointer

If you move your mouse pointer continuously while the data is being returned to Microsoft Excel, the query may not fail. Do not stop moving the mouse until all the data has been returned to Microsoft Excel.

NOTE: Depending on your query, it may take several minutes to return the results of your query to the worksheet.

In other news, Oracle users suffer significantly more RSI if they're also working with Excel.