[VBA Excel]Problem downloading data from web

I use ActiveWorkbook.FollowHyperlink (URL) in VBA macros where URL is a link of .xls file on the Web.
I want to open downloaded document in active Excel application and after use data from it in my macros, but I experienced some problems.
If I call this function from Excel the data is not downloaded, but when I call it from VBA Redactor using breakpoints in this special regime all work fine: data is downloaded and I can use it with my macros. I don’t understand how I can rewrite my program that it will work when I’ll call it directly from Excel. :(