Are you running Windows 7 or 8? If so, see if the advice given on 10/27/11 “Windows 7” helps. In there someone appears to have the same problem which they resolved. Other possible cause is an issue WinBUGS has with overly long pathnames, or pathnames that include characters it sometimes doesn’t like. If the access issue is not resolved following initial advice, try saving the Excel file to your root C directory (or somewhere close) and try again.
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