Is it possible to write a two-level web query?

By this I mean a query that downloads a table from a web
site, opens URLs that are contained in a certain cells in
the table, and then downloads certain cells from the
tables on those web pages.

web query--
level I
downloads table from web site --
extracts URLs from certain cells in the table --
level II
opens those URLs--
downloads a table from each one--
extracts data from certain cells in each table--
and stores the data in the spreadsheet.

Thanks.

John Wirt