I would like to retrieve contents of a web page, be it HTML or XML, into VBA variable!

Later, I would chop, cut, parse or extract the data I need.

Both importing as XML or WebQueries is unsatisfactory for a certain number of pages I need. XML has bad schema, WebQuery tells me it can't find any data.

I tried with WinHTTPRequest, but Excel gives me back error "undefined user type" in other words it doesn't recognize that object.

Basically I want the source of web page to become a string in my VBA code. In other words that would be replication of funcionallity of 
urldownloadtofile http://anywebpage.com/index.html anyfile.txt
which is provided by AutoHotKey scripting language (if anyone used it, very simple and effective for many things).

Can it be done in Excel's VBA?