Using Internet Explorer Object in VBA

I have been using Shell, AppActivate, and SendKeys in an Excel VBA macro to post form data and download a file in response (did I hear somebody say Ouch?). Needless to say, the macro is inflexible and doesn't handle errors very well. For  example, I post a stock symbol "MSFT" to the URL "http://www.cboe.com/DelayedQuote/QuoteTableDownload.aspx", download the response file "QuoteData.dat", and save the file in a local folder. It seems to me that the Internet Explorer Object might be a solution, but I want to hear from the Experts before I make the attempt. First, is it feasible to perform the above task using the Internet Explorer Object in VBA? Second, if it is feasible, what objects, properties and methods would be involved? And third, am I overlooking a better alternative? A code example would be greatly appreciated.

Thanks