Excel Web Queiries should work with protected web sites.
 

The next version of Excel should allow web queries to login to a web site and
then extract data from the page. My company has an internal site but it has
a security wrapper around this website. I would like to pull data off of
this site but I can not do it easliy because of the login. I can open the
web query and login before I extract the data, but it is time consuming. It
should allow for a pop up window with a user name and password to be tied to
two corisponding fields on the web page. That should be submited and then
the web query extract data from the resulting page.

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