Here are some articles related to this. You must have Excel 97 SR-1 or later. There is also third party code which can do this.
http://members.aol.com/dmcritchie/excel/excel.htm
http://members.aol.com/dmcritchie/excel/xlindex.htm
Microsoft Information on VBA and HTML:
http://officeupdate.microsoft.com/downloadDetails/html.htm
Internet Assistant Wizard Update for Excel
http://support.microsoft.com/support/kb/articles/Q147/2/73.asp
XL: The Internet Assistant Wizard (Html.xla)