Sub TesteBusca()

    Dim IE As Object
    Dim sWindows As Object
    Dim sJanelas As Object
    Dim sDados As String
    Dim doc As MSHTML.HTMLDocument

    Set IE = CreateObject("InternetExplorer.Application")

    IE.navigate "http://sdro.ons.org.br/SDRO/DIARIO/index.htm"
    IE.Visible = True

    EsperaIE IE, 2000

    'Debug.Print IE.document.getElementsByTagName("frame")(1).contentDocument.getElementsByTagName("a").innerText
    i = 1
    For Each link In IE.document.getElementsByTagName("frame")(1).contentDocument.getElementsByTagName("a")
    'Debug.Print EXTRAIRELEMENTO(link.href, 8, "/")
        If EXTRAIRELEMENTO(link.href, 7, "/") = "DIARIO_18-03-2018.xlsx" Then
            i = i + 1


            link.Click
             EsperaIE IE, 2000
            If i = 2 Then Exit For
        End If

    Next link

*    i = 1
*    For Each link In IE.document.getElementsByTagName("frame")(1).contentDocument.getElementsByTagName("a")
*        If link.getAttribute("scr") = "../img/exportxls.gif" Then
 *           i = i + 1

  *          link.Click
   *          EsperaIE IE, 2000
    *        If i = 2 Then Exit For
     *   End If

    *Next link

End Sub

Public Sub EsperaIE(IE As Object, Optional time As Long = 250)
'Código de: https://stackoverflow.com/questions/33808000/run-time-error-91-object-variable-or-with-block-variable-not-set
Dim i As Long
Do
    Sleep time
    Debug.Print CStr(i) & vbTab & "Ready: " & CStr(IE.READYSTATE = 4) & _
                vbCrLf & vbTab & "Busy: " & CStr(IE.Busy)
    i = i + 1
Loop Until IE.READYSTATE = 4 Or Not IE.Busy
End Sub

Function EXTRAIRELEMENTO(Txt As String, n, Separator As String) As String
    On Error GoTo ErrHandler:
    EXTRAIRELEMENTO = Split(Application.Trim(Mid(Txt, 1)), Separator)(n - 1)
    Exit Function
ErrHandler:
    ' error handling code
    MsgBox "Erro, veriique os dados de entrada."
    EXTRAIRELEMENTO = CVErr(xlErrNA)
    On Error GoTo 0
End Function