The term describing what you want to do is known as scraping. Here’s an article that refers to a FireFox addon that sounds like it does what you want, but I have no personal experience with using it.
I’d just like to note that scraping is frowned upon in the web world. If the site doesn’t have a public-facing API in 2012, they don’t want you making use of their data with anything other than a webpage refresh. They might block you if this is the case.
It’s maybe worth noting that Excel can do this directly, at least sometimes. In Excel 2003 this is at Data > Import External Data > New Web Query…; in Excel 2007 it’s Data > From Web. Type in the link and click on the table containing the data you want.