It depends on the database to which you're trying to connect, the method by which you created the connection, and the version of Excel that you're using. (Also, most probably, the version of the relevant ODBC driver on your computer.)
The following examples are using SQL Server 2008 and Excel 2007, both on my local machine.
When I used the Data Connection Wizard (on the Data tab of the ribbon, in the Get External Data section, under From Other Sources), I saw the same thing that you did: the Parameters button was disabled, and adding a parameter to the query, something like select field from table where field2 = ?
, caused Excel to complain that the value for the parameter had not been specified, and the changes were not saved.
When I used Microsoft Query (same place as the Data Connection Wizard), I was able to create parameters, specify a display name for them, and enter values each time the query was run. Bringing up the Connection Properties for that connection, the Parameters... button is enabled, and the parameters can be modified and used as I think you want.
I was also able to do this with an Access database. It seems reasonable that Microsoft Query could be used to create parameterized queries hitting other types of databases, but I can't easily test that right now.