“Connect to another library” from SharePoint Designer 2007 allows you to display data from another sites. It seems to disappear from SharePoint Designer 2010. The only workaround I found is detailed here.
Here are quick steps according to this source, to show data from another sub site on your SharePoint site:
Open SPD 2010 in the site you would like to display the data view in.
Click on “Data Sources” (1) then click “SOAP Service Connection” (2).
In the Data source properties window insert the URL address of the site, in which your target list / library is located (3).
In the end of the web address add “_vti_bin/Lists.asmx” (for example – http://server/site/_vti_bin/Lists.asmx).
Click “Connect Now”. Under operation chose “GetListItems”.
Now, we need listName & viewName – Go to the view you would like to display – there you can determine which fileds you will see in your data view. Click “modify this view”.
Drill down to the bottom of the page, where you will find the list ID and the view ID.
Now, you need to decode the URL, you can do it with the help of this site.
Back to the data source properties window, fill the fields listName &viewName according to the URL address you decoded above.
Insert the data into your page: detach your page from its layout.
Click “Insert” tab > Data View > choose your web service data source:
now you can edit your data view as usual.
See it in the browser: