Hi Dirk,
It is plain that Phillip does not have a clue about this feature of Excel.
The "New Web Query" feature is available only in Excel for Windows. Mac users can request features on the UserVoice site. This feature request has been made previously, but appears to have been deleted by Microsoft. You can make it again here:
It is possible to make web queries manually, and you can use parameters. I made a web page with complete instructions:
http://www.agentjim.com/MVP/Excel/WebQueryHowTo.html
Before going through a lot of work, give the Stock Connector addin a try. It's by Michael Saunders, and it's free. On the Insert tab of the Ribbon, click the Store button. Search for Stock Connector.