Anyone knows how to change the db connection (I use a different database each month) ? Or at least make Excel forget what's in the ODBC ?

Did you verify that you are using the enterprise version of SQL Server 2005 ?

Full Writeback Support is only available in this version and not in the smaller versions...

You can also simply stop your SQL Server and then restart it (If you can afford that) !

Then execute your sp_renamedb from the MASTER database in query analyzer.