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Default Getting Excel to Logon to a Website

I need to automate a process inwhich Excel does a web query to get data
from a web site. However, before getting the data I must be logged on. If
I logon via a web browser before running my macro, the site still does not
recognize me as logged on when Excel tries to access it.

I can use web querys from Excel (not VBA) to get a logon screen, and
manually enter the user Id/Password info. Once that is done, my macro runs
fine.

Is there any way I can automate the logon process? That is, a macro gets
the logon screen and neters and submits the user id/password info?

Many thanks.