Regular Expressions in VBA

I am trying to do some regular expressions with replace in VBA for Excel. But I'm unsure how to enter a match while excluding some characters.

The original string is a URL like this:

//lena/sasweb/cgi-bin/broker?_SERVICE=pool4&_PROGRAM=appsas1.MERCHANT.sas&EMAIL=&_DEBUG=0&FILE=MERCHANT&CIM=&DIV=&CIA=&ENTITY=43&FDEPT=&SUBD=772&FSUB=&BUYER=&FCAT=&SUPPLIER=&LOTSET=&BRAND=&LABEL=9

I'd like to change where it says "ENTITY=43" to "ENTITY=45". All the variable are between "&" symbols. So how do I say in RegEx to replace just this one variable?

Right now I'm using:
&ENTITY=\w+
And while it works it is not optimal. I'd like to match between the "&" symbols (or end of line) but not include them in the replacement.

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Right now I'm using:

Dim reg As New RegExp
PatternStr = "&ENTITY=\w+"
ReplacementStr = "&ENTITY=45
reg.Pattern = PatternStr
reg.IgnoreCase = True
URLStr = reg.Replace(URLStr, ReplacementStr)

The routines I'm making arn't always that simple. I just gave a very simple example. What if it says "&ENTITY=9934" or even "&ENTITY=&" which signifies no number entered. And I'm working with a much longer and more complicated URL with many more variables.

I need to do something like this using regular expressions:
(Match on this)(Just replace this and nothing more)(Match here also)

Any ideas?

SNB:
I love your post! It works good. I just thought there might be a way to use Regular Expressions to do it.

I am not a regexp guru but this seems simply enough. Maybe I don't have snb's split routine coded properly.

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Leith:
Your code works but fails if the original string has something like

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which has a "B" after the number in entity. That is why my original code at the top uses /w+
However, even that will break under certain circumstances.

I need something like this:
(Match on this)(Just replace this and nothing more)(Match here also)
(&Entity=)(Replace whatever is right here before the next ampersand)(&)