You could, of course, still do this in VBA.  In fact, I'm not sure you have
any other choice since there's no 'Get External Data' approach for multiple
parameters as you've described.  Below is a sample of what the vba code
might look like.

Dim param  'This will be used for your column A value
Dim str As String, cnn As New ADODB.Connection, X As Integer, cnnStr As
String

cnnStr = "Data Source=SQLDatabaseServer;Initial Catalog=SQLDatabase;Persist
Security Info=True;User
ID=sa;Password=whatever;MultipleActiveResultSets=True;Connect Timeout=180"
   X =  2 ' Assuming your first A value is in row 2
   cnn.ConnectionString = cnnStr
   cnn.Open

Do while Sheets("Sheet1").range("A" & x).value <> ""
   Dim rst As New ADODB.Recordset
   rst.ActiveConnection = cnn
   rst.CursorLocation = adUseClient

   param =  Sheets("Sheet1").range("A" & X).value

   str = "Select * from tableA where fieldA = '" & param & "'"
   rst.Open str
   If Not rst.EOF Then
       rst.MoveFirst
       Do While Not rst.EOF
           Sheets("Sheet1").Range("B" & X).Value = rst.Fields.Item(1).Value
       'rst.MoveNext  ' Watch this!  If you know there's only one value
that can be returned from SQL then there's no need to loop through the
recordset.  If you want to return multiple values,
                               ' then use another variable to set the row
to write to.
       Loop
   End If
   rst.Close
 x = x + 1
loop

cnn.Close

Make sense?

Ross