Refreshing Excel File in PowerPivot from SharePoint

A couple of SharePoint-related questions from students taking my PowerPivot class that are worth sharing.

Question: Can I import data from and auto-refresh an Excel file deployed to a SharePoint library in PowerPivot?

Answer: Yes, if you use WebDAV and specify the UNC path to the file. WebDAV requires the Windows Server Desktop Experience feature to be installed and the WebClient service to be started: