Warning / Alert on refreshable web data

This is the best I can do without an actual workbook, but it should give you an idea of how to do it. The following simulates the download of data and that the cell you are interested in monitoring is cell A2.

Sub DownloadData()
Range("A2") = Now()
End Sub

This code is on the sheet to which the data is downloaded.

Private Sub Worksheet_Change(ByVal Target As Range)
If Target.Address = "$A$2" Then
    MsgBox "It changed"
End If
    
End Sub