Actually I have a similar problem that I posted here yesterday. I just checked for you : my code works well for an XML formatted page like yours. Unfortunatly my own problem is still unresolved : doing the same thing for a web page that just returns plain text without html or xml formatting.
So the below code should give you a good start. Just put it it in a VBA function and pass the URL from the cell as an argument and use it in the Connection string.
With ActiveSheet.QueryTables.Add(Connection:= _
"URL;http://www.nationstates.net/cgi-bin/nationdata.cgi/nation=unibot" _
, Destination:=Range("A1"))
.Name = "testme"
.RowNumbers = False
.RefreshOnFileOpen = False
.BackgroundQuery = True
.SaveData = True
.WebSelectionType = xlEntirePage
.WebFormatting = xlWebFormattingNone
.WebPreFormattedTextToColumns = True
.WebSingleBlockTextImport = True
.WebDisableDateRecognition = False
.Refresh BackgroundQuery:=True
End With
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