Edit: This works only for Excel 2003 (though it requires installation of a plugin, also)
It can, yes. You need to activate them in VBA.
- Open the Visual Basic Editor (Alt + F11)
- Click on Tools > References
- In the list appearing, find the component named "Microsoft Office Soap Type Library v3.0" and check it
- Click OK, the component is installed.
To generate the methods to access a Web Service, you need to specify the definition file (wsdl) in the "Web Service Reference" menu entry, in tools, which should appear after.
To actually access data from then, you will need VBA programming, and I invite you to ask more questions about it on our sister site dedicated to programming questions, Stack Overflow.
Ok, this method worked in Excel 2003, but it seems it's not the recommended way nowadays. I can't find as well the menu I told you about. The library I referred to is probably used for compatibility reasons.
Now all I can find about it is to do it from Visual Studio 2008, or to follow more pointers at this Stack Overflow question.