Here's the beginning of the macro...
Sub CreateNewAliasTable()
'
' CreateNewAliasTable Macro
' Macro recorded 3/24/2005 by DZugel
'
Dim i, j, k, l As Integer
Dim iHeadRow, iSplitRow, iLastRow, iLastCol As Integer
Dim iFirstRow, iSecondRow As Integer
Dim sPath, sSubPath, sHostname, sFile, sVanstat, sTemp As String
'
sPath = Application.DefaultFilePath
sSubPath = "Projects\Patrol"
sHostMaster = "Host Code Master"
sFile = sPath & "\" & sSubPath & "\" & sHostMaster & Format(Date, " yyyy mmdd") & ".xls"
sVanstat = "URL;http//techweb.xxxx.com/team/abc/abcstat.htm"
Workbooks.Add
With Worksheets(1).QueryTables.Add(Connection:=sAbcstat, Destination:=Range("Sheet1!A1"))
.Name = "abcstat"
.FieldNames = True
.RowNumbers = False
.FillAdjacentFormulas = False
.PreserveFormatting = True
.RefreshOnFileOpen = False
.BackgroundQuery = True
.RefreshStyle = xlInsertDeleteCells
.SavePassword = False
.SaveData = True
.AdjustColumnWidth = True
.RefreshPeriod = 0
.WebSelectionType = xlEntirePage
.WebFormatting = xlWebFormattingNone
.WebPreFormattedTextToColumns = True
.WebConsecutiveDelimitersAsOne = True
.WebSingleBlockTextImport = False
.WebDisableDateRecognition = False
.WebDisableRedirections = False
.Refresh BackgroundQuery:=True
End With
Sheets("Sheet1").Name = "HostAliasTable"

I assign the macro to an icon on my toolbar. As you can see, its only the third statement after the declarations and initialization code. There is a lot more code following this, and will include it if needed, but it mainly deals with formatting the imported data. The .Refresh BackgroundQuery:=True statement is where the system fails when I step through.