Te referís poder chequear si la página existe?? Si es asi podés usar el Api UrlToFileDownload. Tepongo unejemplo, si la pagina no existe la funcion retorna false, si no True.
Private 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 Function DownloadFile(URL As String, LocalFilename As String) As Boolean
Dim ret As Long
ret = URLDownloadToFile(0, URL, LocalFilename, 0, 0)
If ret = 0 Then
DownloadFile = True
Else
DownloadFile = False
End If
MsgBox DownloadFile
End Function
Private Sub Form_Load()
DownloadFile "http://www.unapaginaquenoexiste.htm", "c:\allapi.htm"
End Sub