1. strFin(1) = "basicmaterials"
Then you do:

strFin(Z) = "http://finviz.com/export.ashx?v=151&f=sec_" & strFin(Z) & ",sh_avgvol_o500,sh_opt_optionshort,sh_price_o10&ft=4&o=industry&c=1,2,4,42,43,44,45,46,47,65,68"

which results in:

"http://finviz.com/export.ashx?v=151&f=sec_basicmaterials,sh_avgvol_o500,sh_opt_optionshort,sh_price_o10&ft=4&o=industry&c=1,2,4,42,43,44,45,46,47,65,68"

which cannot be a tab name:
Destination:=Sheets(strFin(Z)).Range("A" & Rows.Count).End(xlUp).Offset(1, 0)

So you need to use another variable to hold the url. It doesn't have to be an array, just a string var:
URLStr = "http://finviz.com/export.ashx?v=151&f=sec_" & strFin(Z) & ",sh_avgvol_o500,sh_opt_optionshort,sh_price_o10&ft=4&o=industry&c=1,2,4,42,43,44,45,46,47,65,68"

... Connection:="URL;" & URLStr ...
Etc.