I find the best way is to do a web query. Go to 'Data' - 'Import
External Data' - 'New Web Query'

Finance at Yahoo is very good an example URL is;
http://finance.yahoo.com/currency/co...submit=Convert

As you can see from above, should you want to automate the generation
of these web queries, the URL is predictable - hence you can change
the Currencies and amounts manually or programatically. If you wanted
help with that, post another request.

Cheers,
Haydn