SharePoint has a great feature that allows you to create a custom list directly from a spreadsheet. All you do simply tell SharePoint where the spreadsheet is located when you go to create the list.
However, you may also get this error if you are using a SharePoint that is hosted outside your business.
To overcome this simply go into your Internet Explorer Internet options and add the URL of the site that you are using to the Trusted Sites in the Security tab. That should now allow you to import the spreadsheet via the normal process.