Macro and web query/import

I am trying to record a macro for a workbook that will import data from the web. The website I am using for the data requires a password and then a specific query for the data I need.

When trying to record the macro, I get all the way to highlighting the data on the query, and Excel opens up a window that says "unable to record". Yet the data does import. Excel saves the query, yet the macro doesn't work?

Any ideas on why?

Has anyone had this problem before?

Thanks very much for your help!