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I'm modifying code to download multiple files via Excel VBA.
The code is as follows:

Option Explicit

'API function declaration for both 32 and 64bit Excel.
#If VBA7 Then
 Private Declare PtrSafe 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
#Else
 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
#End If



Sub DownloadFiles()

 '--------------------------------------------------------------------------------------------------
 'The macro loops through all the URLs (column C) and downloads the files at the specified folder.
 'The characters after the last "/" of the URL string are used to create the file path.
 'If the file is downloaded successfully an OK will appear in column D (otherwise an ERROR value).
 'The code is based on API function URLDownloadToFile, which actually does all the work.
 'Written By: Christos Samaras
 'Date: 02/11/2013
 'Last Update: 06/06/2015
 'E-mail: xristos.samaras@gmail.com
 'Site: https://myengineeringworld.net/////
 '--------------------------------------------------------------------------------------------------

 'Declaring the necessary variables.
 Dim sh As Worksheet
 Dim DownloadFolder As String
 Dim LastRow As Long
 Dim SpecialChar() As String
 Dim SpecialCharFound As Double
 Dim FilePath As String
 Dim i As Long
 Dim j As Integer
 Dim Result As Long
 Dim CountErrors As Long

 'Disable screen flickering.
 Application.ScreenUpdating = False

 'Set the worksheet object to the desired sheet.
 Set sh = Sheets("Sheet1")

 'An array with special characters that cannot be used for naming a file.
 SpecialChar() = Split(" / : * ? " & Chr$(34) & " < > |", " ")

 'Find the last row.
 With sh
 .Activate
 LastRow = .Cells(.Rows.Count, "C").End(xlUp).Row
 End With

 'Check if the download folder exists.
 DownloadFolder = sh.Range("B4")
 On Error Resume Next
 If Dir(DownloadFolder, vbDirectory) = vbNullString Then
 MsgBox "The folder's path is incorrect!", vbCritical, "Folder's Path Error"
 sh.Range("B4").Select
 Exit Sub
 End If
 On Error GoTo 0

 'Check if there is at least one URL.
 If LastRow < 8 Then
 MsgBox "You did't enter a single URL!", vbCritical, "No URL Error"
 sh.Range("C8").Select
 Exit Sub
 End If

 'Clear the results column.
 sh.Range("D8:D" & LastRow).ClearContents

 'Add the backslash if doesn't exist.
 If Right(DownloadFolder, 1) <> "" Then
 DownloadFolder = DownloadFolder & ""
 End If

 'Counting the number of files that will not be downloaded.
 CountErrors = 0

 'Save the internet files at the specified folder of your hard disk.
 On Error Resume Next
 For i = 8 To LastRow

 'Find the characters after the last "/" of the URL.
 With WorksheetFunction
 FilePath = Mid(sh.Cells(i, 3), .Find("*", .Substitute(sh.Cells(i, 3), "/", "*", Len(sh.Cells(i, 3)) - _
 Len(.Substitute(sh.Cells(i, 3), "/", "")))) + 1, Len(sh.Cells(i, 3)))
 End With

 'Check if the file path contains a special/illegal character.
 For j = LBound(SpecialChar) To UBound(SpecialChar)
 SpecialCharFound = InStr(1, FilePath, SpecialChar(j), vbTextCompare)
 'If an illegal character is found substitute it with a "-" character.
 If SpecialCharFound > 0 Then
 FilePath = WorksheetFunction.Substitute(FilePath, SpecialChar(j), "-")
 End If
 Next j

 'Create the final file path.
 FilePath = DownloadFolder & FilePath

 'Check if the file path exceeds the maximum allowable characters.
 If Len(FilePath) > 255 Then
 sh.Cells(i, 4) = "ERROR"
 sh.Cells(i, 2) = "ERROR1"
 CountErrors = CountErrors + 1
 End If

 'If the file path is valid, save the file into the selected folder.
 If UCase(sh.Cells(i, 4)) <> "ERROR" Then

 'Try to download and save the file.
 Result = URLDownloadToFile(0, sh.Cells(i, 3), FilePath, 0, 0)

 'Check if the file downloaded successfully and exists.
 If Result = 0 And Not Dir(FilePath, vbDirectory) = vbNullString Then
 'Success!
 sh.Cells(i, 4) = "OK"
 sh.Cells(i, 2) = Result & "&" & FilePath & "&" & vbDirectory
 Else
 'Error!
 sh.Cells(i, 4) = "ERROR"
 sh.Cells(i, 2) = Result & "&" & FilePath & "&" & vbDirectory
 CountErrors = CountErrors + 1
 End If

 End If

 Next i
 On Error GoTo 0

 'Enable the screen.
 Application.ScreenUpdating = True

 'Inform the user that macro finished successfully or with errors.
 If CountErrors = 0 Then
 'Success!
 If LastRow - 7 = 1 Then
 MsgBox "The file was successfully downloaded!", vbInformation, "Done"
 Else
 MsgBox LastRow - 7 & " files were successfully downloaded!", vbInformation, "Done"
 End If
 Else
 'Error!
 If CountErrors = 1 Then
 MsgBox "There was an error with one of the files!", vbCritical, "Error"
 Else
 MsgBox "There was an error with " & CountErrors & " files!", vbCritical, "Error"
 End If
 End If

End Sub

This code downloads most files just fine, but I ran across issues when trying to download from SPP(Southwest Power Pool)'s API. For Example:

https://marketplace.spp.org/file-api/download/da-lmp-by-location?path=%2F2018%2F11%2FDA-LMP-MONTHLY-SL-201811.csv

This file or any similar file that I try to download from this api is identified and downloaded just fine by any browser or download manager, but URLDownloadToFile reports an error and does not download the file. It downloads files from other sources successfully

My knowledge of coding allowed me to track down the error/return code, which is reported in column B by the following bit of code:

sh.Cells(i, 2) = Result & "&" & FilePath & "&" & vbDirectory

To my understanding, this indicates INET_E_SECURITY_PROBLEM with return code of -2146697202.

Beyond Identifying the error, I am out of my depth.

Assistance in figuring out how to get past this major roadblock would be greatly appreciated.