If you are wondering, when you go to create page in your sharepoint site and cannot see
Data Connection Library option there, most likely, you do not have MOSS 2007 installed.
Data Connection Library is a document library which lets you hold you data connections like
Office Data connection files which hold connection string pointing to your external data.
This feature is only available in MOSS 2007. If you are using WSS v3 only, you are out of luck J
If you have MOSS 2007 installed and still there is no option of creating Data Connection Library, you
are most probably using a team site template. Data connection library is not activated as a feature in team site.
So better solution would be to create site out of Publishing Portal or Collaboration Portal.