ExcelBanter - Can I automate Wizard options in a macro?

My experience level is high with computers in general, but low with
Excel. I am proficient in C#, but don't have a clue in VBA. I'm
using Excel 2007.

All I want to do is automate a paste operation. There is a website
that has historical data on sports stats, and I want to copy some
stats into a worksheet so I can do various analyses.

The paste requires a Paste Special/Text, and then using the Text
Import Wizard to specify delimited data, set a combination of
delimiters, and skip a few columns.

Sounds simple, but when I used the Record Macro function, all it did
was paste as text - it ignored everything I did in the Wizard.

I'm perfectly willing to read the docs on VBA if this can be automated
fairly easily, but I thought I'd ask here first and make sure I'm not
wasting my time. Is there something about Wizards that the macros
can't see?

Thanks for any help.