I have a sharepoint list that we update daily and it is connected to an excel file that we update manualy. So what I would like is when a new item is added to the list it automatically updates the excel file.
Depending on your requirements there may be no way. You can use Refresh on open or periodic refresh:
Have a look also at these threads: Excel web part from list - Autorefresh http://social.technet.microsoft.com/Forums/sharepoint/en-US/258013dc-2687-486c-8d87-3834e25bf0f4/how-to-autorefresh-pivot-table-in-excel-web-access-webpart-in-sharepoint?forum=sharepointgeneralprevious
Check also the supported connections and scenarios: http://office.microsoft.com/en-001/sharepoint-help/work-with-external-data-in-excel-services-sharepoint-server-HA102830785.aspx