Public Declare Function URLDownloadToFile Lib "urlmon" Alias _
   "URLDownloadToFileA" (ByVal pCaller As Long, _
   ByVal szURL As String, _
   ByVal szFileName As String, _
   ByVal dwReserved As Long, _
   ByVal lpfnCB As Long) As Long

Public Sub GURoL(url As String, FileName As String)
    Dim lngRetVal As Long
    lngRetVal = URLDownloadToFile(0, url, FileName, 0, 0)
    If lngRetVal <> 0 Then
    MsgBox "GURol godo: Can't download from " & url & " to " & FileName
    End If
End Sub

Sub a()
    Dim url_column As Range
    Dim image_column As Range
    Dim myPicture As Picture 'embedded pic
    Dim hasImage_column As Range
    Dim hasImage As String
    Dim shape As shape
    Dim localImagePath As String

    Dim fromRow As Integer
    Dim toRow As Integer

    fromRow = 4250
    toRow = 4259

    Set url_column = Worksheets(2).Range("I" & fromRow & ":I" & toRow)
    Set image_column = Worksheets(2).Range("J" & fromRow & ":J" & toRow)
    Set hasImage_column = Worksheets(2).Range("K" & fromRow & ":K" & toRow)

    Dim i As Long
    For i = 1 To url_column.Cells.Count
        On Error GoTo NextRow:

        Debug.Print (url_column.Cells(i).Value & " " & (fromRow + i - 1))

        hasImage = hasImage_column.Cells(i).Value

        If hasImage = "1" Then GoTo NextRow

        localImagePath = "c:\Temp\xls-" & (fromRow + i - 1) & ".png"
        Call GURoL(url_column.Cells(i).Value, localImagePath)

        'Set myPicture = ActiveSheet.Pictures.Insert(localImagePath)
        Set shape = ActiveSheet.Shapes.AddPicture(localImagePath, msoFalse, msoTrue, 0, 0, 100, 100)

        With shape
            .Left = image_column.Cells(i).Left
            .Top = image_column.Cells(i).Top
            .Height = 50
            .Width = 50
            image_column.Cells(i).EntireRow.RowHeight = .Height
        End With

        hasImage_column.Cells(i).Value = "1"

NextRow:
    Resume NextRow2
NextRow2:
    Next
End Sub