Click Ok, and this would open the dialog box. Select the PDF file you want to insert in Excel and click ‘Open’. It will open the PDF file by default, and you need to close it.

You can embed a PDF file into a cell of an Excel worksheet and then use Excel's security features to lock the object. This allows you to take advantage of both technologies.

PDF Data Connector from Microsoft will help you import and use PDF data into Microsoft Excel spreadsheets. Learn how to use it.