I just tested with the ^GSPC from 11/1/2010 to 11/25/2010 Daily and it ran fine with data for both Close and Adjusted Close.
Once run, try to click the RUN bitton in the Query sheet to see what is returned from the web query itself. There should be data in cells A15 to G32. If not, then there could be an issue with data format and regional settings, or version of Excel/OS/Browser. If you can communicate these then we can look further into it.