If you use ADO to retrieve your data,
1. Create the Recordset Object
2. Set the PageSize property to 65, 535 (first row is for column names)
3. Open your recordset
4. Loop though the Recordset by Page, adding a new worksheet for every page
a. write the column names to row 2
b. write all the data for the page at A2 using the CopyFromRecordset object