Can't test without more detail but should be something like the following..
Sub Example()
Dim wsMyData As Workbook
Dim wsMyMacro As Workbook
Dim rng As Range
Dim rCel As Range 'Suggest not using CELL which is a reserved word
Dim fileNam
Set wsMyData = Workbooks("MyData.xlsx")
Set wsMyMacro = Workbooks("MyMacro.xlsm")
Set rng = wsMyData.Worksheets("Sheet1").Range("A1:A10") ***'Example. Edit as required***
For Each rCel In rng
'Get image URL from CELL in MyData
fileNam = rCel.Value
'Yep, got a good value from MyData
'Insert Picture into MyData NOT MyMacro
Application.Goto rCel *'Return to rCel will activate the workbook containing rCel*
ActiveSheet.Pictures.Insert (fileNam)
Next rCel
End Sub