There are no inbuilt methods for parsing JSON in Excel so you need to build your own, without knowing what you actually want here are some pointers:
This sub will get you the text of a given url, the .responseText is the text of the value returned in your case your json array. You'd then parse out the bits you want with normal string manipulation techniques, split/filter/instr/left/mid/right etc
For a different approach for a complex nested json object, I wrote the below for someone on a different site:
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