I was looking for something similar and the official answer is no. However, I was able to find an interesting concept by Daniel at ExcelHero.com.
Basically, you need to create worker vbscripts to execute the various things you want and have it report back to excel. For what I am doing, retrieving HTML data from various website, it works great!
Take a look:
http://www.excelhero.com/blog/2010/05/multi-threaded-vba.html