creating database in excell?

hi i have a work sheet with a lot of data in it relating to time worked each line is a seperat day.
in my excel book it states that i can turn this work sheet data in to a database it states that i have to highlight the data + 1 line and then go to the data menue and select "set Database" but there in no item in the data menu with that name! i have tryed seaching the help files but have not been able to find anything exept how to inport or link to an external database. and i donot wish to creat an external database.
can any one shed some light on this for me?
thanks