same problem here too, i m pulling closing price from urls like http://finance.yahoo.com/q?s=ibm, but got the "The file could not be accessed ..." message. the error happened after 30 queries (more of less).
and i m using excel 2003 on windows XP.

what is interesting is that it happened to my laptop after i install a few updates. but apparently my desktop works fine (i was lucky i try the updates on my laptop first). so i m guessing it has something to do with the updates may have disabled something. and it seems that the problem is very specific to yahoo finance.


updates that i installed that day:
for windows: KB927779, KB927802, KB928255, KB923723, KB924667, KB931836, KB926436, KB928090, KB918118, KB928843

for office: KB894542, KB924885, KB919029, KB924085, Service Pack2, KB920813, KB924424, KB920103, KB924085, KB929060, KB929057, KB925251, KB
929064, KB907417, KB929058 (Excel), KB914455, KB923097