WebQuery in VBA with ADO

Is it possible to run the equivalent of an Excel WebQuery with VBA using ADO? Would this increase the speed of the query since it wouldn't have to print to the worksheet?

I am currently doing a webquery then I take that information and put it in a class. I would think it would be faster just to have the disconnected recordset and put that into my class (some of the query comes in the form of a delimited strings, that's why I want to put it in a class, granted I could probably just do the filter to get my data if it were in a recordset). Would it be worth the effort?

Thanks for your help!