I've successfully used the Microsoft WinHTTP Services library to log in to a website and then GET a particular page I'm interested in, however the returned ResponseText is just a massive string. I can obviously write code to parse this text, but I have a feeling that the Microsoft HTML Object Library might be able to do a lot of the leg work for me.
I've had a go loading the HTMLDocument (see below), but I'm not sufficently familiar with the DOM object model to know if this is the right approach - or more importantly how to extract the anchors I want from the returned page.
Dim htpRequest As WinHttp.WinHttpRequest
Dim docDocument As MSHTML.HTMLDocument
htpRequest.Open "GET", "http://www.mywebsite.com/mypage.asp", False
docDocument.body.innerHTML = htpRequest.responseText