Voilà...
http://support.microsoft.com/kb/120596

Donc : Office 2007 ou

Le code de la macro :

Sub LargeFileImport()

'Dimension Variables
Dim ResultStr As String
Dim FileName As String
Dim FileNum As Integer
Dim Counter As Double
'Ask User for File's Name
FileName = InputBox("Please enter the Text File's name, e.g. test.txt")
'Check for no entry
If FileName = "" Then End
'Get Next Available File Handle Number
FileNum = FreeFile()
'Open Text File For Input
Open FileName For Input As #FileNum
'Turn Screen Updating Off
Application.ScreenUpdating = False
'Create A New WorkBook With One Worksheet In It
Workbooks.Add template:=xlWorksheet
'Set The Counter to 1
Counter = 1
'Loop Until the End Of File Is Reached
Do While Seek(FileNum) <= LOF(FileNum)
'Display Importing Row Number On Status Bar
Application.StatusBar = "Importing Row " & _
Counter & " of text file " & FileName
'Store One Line Of Text From File To Variable
Line Input #FileNum, ResultStr
'Store Variable Data Into Active Cell
If Left(ResultStr, 1) = "=" Then
ActiveCell.Value = "'" & ResultStr
Else
ActiveCell.Value = ResultStr
End If

'For Excel versions before Excel 97, change 65536 to 16384
If ActiveCell.Row = 65536 Then
'If On The Last Row Then Add A New Sheet
ActiveWorkbook.Sheets.Add
Else
'If Not The Last Row Then Go One Cell Down
ActiveCell.Offset(1, 0).Select
End If
'Increment the Counter By 1
Counter = Counter + 1
'Start Again At Top Of 'Do While' Statement
Loop
'Close The Open Text File
Close
'Remove Message From Status Bar
Application.StatusBar = False

End Sub