I followed the instructions in this document:
http://msdn.microsoft.com/en-us/library/bb386244.aspx
And in the final step nothing appears as a choice in the "Generator Output" dropdown.
(Ultimately, I want a file of sample data that I can check in with my Visual Studio Database project so all developers get the same data and thus generate the same test data on their machines, which enables our integration tests to succeed. I tried using an Access MDB as a data source but this does not like to be checked into TFS, thus is not as fluid as using an Excel file would be)