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!