Dim doc As New HTMLDocument
Set doc = New HTMLDocument 'early binding
Set doc = CreateObject("htmlfile")  'late binding
' в http.ResponseText =  записывается (не пойму почему, вот такая конструкция) "<P>&nbsp</P>"
doc.body.innerHTML = http.ResponseText
For Each link In doc.Links
  If (InStr(link.href, websiteURL) > 0) Then
     targetRange.Cells(1, 3).Formula = link.innerText

Sub http_OnError(ByVal ErrorNumber As Long, ByVal ErrorDescription As String)
    '' WinHTTP has encountered an error. Display it
    targetRange.Cells(1, 2).Value = Now
    ShowError "Error: " & ErrorDescription
    done = True
End Sub

Sub Check(ByVal URL As String, ByRef rng As Range, ByVal website As String)
    done = False
    pageURL = URL
    websiteURL = website
    Set targetRange = rng

    If (http Is Nothing) Then
       Set http = New WinHttp.WinHttpRequest
        http.Option(WinHttpRequestOption_UserAgentString) = "Mozilla/5.0 (Macintosh; U; Intel Mac OS X 10_6_7; en-US) AppleWebKit/534.16 (KHTML, like Gecko) Chrome/10.0.648.205 Safari/534.16"     
    End If
    http.Open "GET", pageURL, True
    http.Send
    http.SetTimeouts 50, 50, 50, 50
    
End Sub

Run-time error '-2147023783 (80070459)' 

Sub GetInformationFromINet()
Dim oHttp As Object
Dim strURL As String

strURL = "здесь необходимо указать адрес сайта, что то вроде http://mail.ru/"

On Error Resume Next
Set oHttp = CreateObject("MSXML2.XMLHTTP")
If Err.Number <> 0 Then
Set oHttp = CreateObject("MSXML.XMLHTTPRequest")
End If
On Error GoTo 0
If oHttp Is Nothing Then
MsgBox "Не удалось инициализировать объект MSXML!"
Exit Sub
End If

oHttp.Open "GET", strURL, False
oHttp.Send

Debug.Print oHttp.ResponseText
Set oHttp = Nothing
MsgBox "Данные успешно импортированы!", vbInformation
End Sub