My code works in Excel 2003, but I think your workbook must be Excel 2007.
Maybe the problem is
http://www.ozgrid.com/forum/showthread.php?t=89168. If so, try changing:
Set Query.qt = ThisWorkbook.Sheets("Live").QueryTables(1)
To:
Set Query.qt = ThisWorkbook.Sheets("Live").ListObjects(1).QueryTable
That's an educated guess based on that linked page, but I can't test it because I don't have Excel 2007. Also, ListObjects(1) assumes your web query is in the first ListObject. You could run the Excel2007Connections() code on that page to check this.
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