There is no direct support for Microsoft Web Query files (*.iqy) in Tableau. You can however open the .iqy using excel, which pulls data resulting from the .iqy query execution into excel.
I'm not sure I understand your solution of opening in Excel first...unless you are basically saying this can not be done in Tableau and I can create a report in Excel instead.
Yes, that is correct. There is currently no direct support for .iqy files in Tableau.
You can create the report in Excel, and then link Tableau to that Excel file
that's what I've asked them to do