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Default How to import data from a zipped file through Internet?

Does anyone have any suggestions on how to import data from a zipped file
through Internet?
For example:
http://www.tradingblox.com/Data/DataOnly.zip
I would like to import DX_0_I0B.txt from DataOnly.zip\Future\DX_0_I0B.txt
into Excel worksheet.
Does anyone have any suggestions?
Thanks in advance for any suggestions
Eric
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