internet file downloads

i have to download files from internet which are in zip format and then open it and copy data from it.can it be done through a macro.
this is a stock exchange file and date keeps changin everyday
the link is
http://www.bseindia.com/mktlive/bhavcopy.asp
any help would be appriciated
Regards,
Vipul

thanks a lot sir.
But still it does not download the file from the internet.
If u could possibly help me with that.I have already listed the link.i want to just run the macro so it could download unzip and then copy and close all the codes attached show how to do everything else but for download.

thanks a lot sir.
But still it does not download the file from the internet.
If u could possibly help me with that.I have already listed the link.i want to just run the macro so it could download unzip then copy and paste.All the codes attached show how to do everything else but for download.