Actually, there IS native support depending on the programming language and/or database system.
If you are using ADO with VB, C++, C# or VB.Net you can set up your tab delimited text file as a data source and write select queries against it. If you are using Java you can make it a JDBC data source. Same with Excel, so no need to import to excel. Excel will easily import it though.
If you are using MS Access (and possibly mySQL on a win32 platform) you can set it up as an ISAM attachment and execute queries as though it were a native table.
You can write Pass-Through queries in MS Access to treat it as a table. Or set it up as a linked table.
MSSQL can easily import it into a table via a wide array of tools and MSSQL DTS can execute queries against it as though it were a native table. Can probably set it up as a linked server in MSSQL too.
So despite some of the above remarks, there is most certainly native support, but we need more information about the tools and platforms at your disposal to be more helpful.
To query the text file directly as a data source in Java or any of the MS languages (VB, C++, DotNet etc.) create your connection string like that Shown Here at the bottom of the page.