Using XMLHTTP

Sub Test()
    Dim sResp As String
    With CreateObject("MSXML2.XMLHTTP")
        .Open "GET", "https://raw.githubusercontent.com/owid/covid-19-data/master/public/data/vaccinations/us_state_vaccinations.csv", False
        .send
        sResp = .responseText
    End With
    Open ThisWorkbook.Path & "\CoivdXMLHTTP.csv" For Output As #1
    Print #1, sResp
    Close #1
End Sub