每一个期货品种一张表，按照时间顺序排列,数据在2011年以前是全部一起下载的。只有在以后才是分类的。
先建一个空白工作表，按ALT+F11,点击sheet1,插入模块（这样数据就能在同一个工作薄中），然后复制以下代码：
Sub AAA()
Dim A, B, C As Date, i As Integer, D, E As Variant
On Error Resume Next
A = #5/9/2005#
B = #12/31/2009#
E = DateDiff("D", A, B)
For i = 0 To E
C = A + i
D = Format(C, "YYYYMMDD")
Worksheets.Add(before:=Worksheets(1)).Name = D
With ActiveSheet.QueryTables.Add(Connection:="URL;http://www.czce.com.cn/portal/exchange/jyxx/hq/hq" & D & ".html", Destination:=Range("A1"))
                .BackgroundQuery = True
        .RefreshStyle = xlInsertDeleteCells
        .SaveData = True
        .WebSelectionType = xlSpecifiedTables
        .WebFormatting = xlWebFormattingNone
        .WebTables = "3"
        .Refresh BackgroundQuery:=False
         End With
Next i
End Sub
运行就可以了，至于2011年以后的分类数据下载问题，你改改Connection:="
即可。这样的工作很简单，至此，问题已经解决啦。

业余爱好者一个,写了个代码,将就用吧.别忘记了我的论坛币.
Private Sub CommandButton1_Click()
Dim A, B, C As Date, i As Integer, D, E, F As Variant
On Error Resume Next
A = #5/31/2005#
B = #12/31/2009#
For i = 0 To 1675
C = A + i
D = Format(C, "YYYYMMDD")

       With ActiveSheet.QueryTables.Add(Connection:="URL;http://www.czce.com.cn/portal/exchange/jyxx/hq/hq" & D & ".html", Destination:=Range("A1"))
        .Name = " CF "
        .FieldNames = True
        .RowNumbers = False
        .FillAdjacentFormulas = False
        .PreserveFormatting = True
        .RefreshOnFileOpen = False
        .BackgroundQuery = True
        .RefreshStyle = xlInsertDeleteCells
        .SavePassword = False
        .SaveData = True
        .AdjustColumnWidth = True
        .RefreshPeriod = 0
        .WebSelectionType = xlSpecifiedTables
        .WebFormatting = xlWebFormattingNone
        .WebTables = "3"
        .WebPreFormattedTextToColumns = True
        .WebConsecutiveDelimitersAsOne = True
        .WebSingleBlockTextImport = False
        .WebDisableDateRecognition = False
        .WebDisableRedirections = False
        .Refresh BackgroundQuery:=False
    End With
   
    ActiveWindow.SmallScroll Down:=0
    ChDir "C:\Documents and Settings\Administrator\桌面\1"
   
    ActiveWorkbook.SaveAs Filename:="C:\Documents and Settings\Administrator\桌面\1\" & D & ".xls", FileFormat:=xlNormal, Password:="", WriteResPassword:="", ReadOnlyRecommended:=False, _
        CreateBackup:=False
      Next i
  End Sub

没想到问题过了这么久还能有热心的论坛友帮忙解答，真的多谢啦，虽然没用你的方法但我的问题已经解决啦，是托论坛的前辈帮我下载的，论坛币还是给你吧~~多谢辛苦

没事，挑战解决问题的收获远大于这个，也是边摸索边解决的，真的很有趣。

从网站批量导入数据到Excel范例  http://download.csdn.net/download/raymond1st/2822035