Option Explicit
Sub Web_Table_Option_One()
    Dim xml    As Object
    Dim html   As Object
    Dim objTable As Object
    Dim result As String
    Dim lRow As Long
    Dim lngTable As Long
    Dim lngRow As Long
    Dim lngCol As Long
    Dim ActRw As Long
    Set xml = CreateObject("MSXML2.XMLHTTP.6.0")

     ThisWorkbook.Sheets("Sheet2").Cells.ClearContents
    With xml
        .Open "GET", "https://weather.gc.ca/warnings/index_e.html", False
        .send
    End With
    result = xml.responseText
    Set html = CreateObject("htmlfile")
    html.body.innerHTML = result
    Set objTable = html.getElementsByTagName("Table")
    For lngTable = 0 To objTable.Length - 1
        For lngRow = 0 To objTable(lngTable).Rows.Length - 1
            For lngCol = 0 To objTable(lngTable).Rows(lngRow).Cells.Length - 1
                ThisWorkbook.Sheets("Sheet2").Cells(ActRw + lngRow + 1, lngCol + 1) = objTable(lngTable).Rows(lngRow).Cells(lngCol).innerText
            Next lngCol
        Next lngRow
        ActRw = ActRw + objTable(lngTable).Rows.Length + 1
    Next lngTable
End Sub