A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data.
Correct.
In VBA you can either automate Get External Data (you can record a macro while doing it manually to get a good start), or you could use ADO or DAO functions to create a recordset and then use CopyFromRecordset.
I recall using SQL.REQUEST in the early 1990s when I was writing Excel 4 macros. I seem to remember that it was quite an expensive function and difficult to use, with difficulties whenever strings exceeded 255 characters.
Excel 97 introduced better methods of importing external data and they have evolved into what we have now as Get External Data. I wouldn't be surprised if the xlodbc.xla add-in that included SQL.REQUEST would still work if you were able to find a copy.
however, I think the facilities we have today are vastly superior.