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Default how do web query excel 2003 from site in browser?

Doing a web query in Excel 2000 was not too bad: find a site, bring up Excel,
Data, get, when it brought up IE close it and it got the site from the first
instance of IE you had started where the site was. Excel 2003 seems very
frustrating, it doesn't work that way, you can't copy/paste the URl from the
browser to the dialog box in Excel. so, is there an easy way to do this?