Eu escrevi este código no início desta semana. Ele pesquisará a primeira tabela e copiará todos os dados da tabela HTML menos os cabeçalhos para a planilha ativa, começando em A1.
Coloque o seu endereço HTML sob a linha ie.navigate entre as primeiras aspas.
Private Sub Test()
Dim ie As Object, i As Long, strText As String
Dim doc As Object, hTable As Object, hBody As Object, hTR As Object, hTD As Object
Dim tb As Object, bb As Object, tr As Object, td As Object
Dim y As Long, z As Long, wb As Excel.Workbook, ws As Excel.Worksheet
Set wb = Excel.ActiveWorkbook
Set ws = wb.ActiveSheet
Set ie = CreateObject("InternetExplorer.Application")
ie.Visible = True
y = 1 'Column A in Excel
z = 1 'Row 1 in Excel
ie.navigate "http://", , , , "Content-Type: application/x-www-form-urlencoded" & vbCrLf
Do While ie.busy: DoEvents: Loop
Do While ie.ReadyState <> 4: DoEvents: Loop
Set doc = ie.document
Set hTable = doc.GetElementsByTagName("table")
For Each tb In hTable
Set hBody = tb.GetElementsByTagName("tbody")
For Each bb In hBody
Set hTR = bb.GetElementsByTagName("tr")
For Each tr In hTR
Set hTD = tr.GetElementsByTagName("td")
y = 1 ' Resets back to column A
For Each td In hTD
ws.Cells(z, y).Value = td.innertext
y = y + 1
Next td
DoEvents
z = z + 1
Next tr
Exit For
Next bb
Exit For
Next tb
End Sub