You can certainly set up data queries to another Excel file, although the typical way to do this is to use formulas that refer directly to the other files.

When asking why you get an error, it is essential to post:
  • The exact text of the error message
  • The exact actions that led to that error (in this case, how you set up the data query)

The ideal situation would be if you could post the price info file, the sales figures file, and the tool file. However, do not post proprietary information.