I have an Excel VBA project that uses MSXML2.XMLHTTP to bring web content into Excel. Everything executes fine, except sometimes I get this error while the script is running:

Regardless of which button I click (Yes or No), the script continues to run normally and everything is OK (i.e., all content is properly loaded into Excel). However, I would like to prevent this error from popping up in the first place since it is bad user experience to have this pop up while the macro is running.
The VBA project doesn't even have 344 lines, so I'm not sure which line the error is referring to. Does anybody have a clue how I can fix this, or at least prevent this error dialog from showing up?