sql="IF  EXISTS (SELECT * FROM sys.objects WHERE object_id = OBJECT_ID(N'[dbo].[T]') AND type in (N'U')) " & vbCrLf & _
" DROP TABLE [dbo].[T]; "
oConn.Execute sql
sql = "SELECT и т.д ваш запрос  into T  FROM [таблица] "
oConn.Execute sql
sql = "ALTER TABLE T " & vbCrLf & _
"ADD ct [int]  IDENTITY(1,1) PRIMARY KEY; "
oConn.Execute sql
    Set Rs = oConn.Execute("SELECT max([ct]) FROM [T]")
    If Rs.EOF = False Then
      Count = Rs(0)
    Else
      Count = 0
    End If
    Set Sh = ActiveSheet
    For n = 1 To Count  Step 100000
        Set Rs = oConn.Execute(" SELECT * from T where  ct>=" & n & " and ct<=" & (n + 100000 - 1))
                If Not Rs.EOF Then
                If n = 1 Then
                    For i = 0 To Rs.Fields.Count - 1
                        Sh.Cells(1, i + 1) = Rs.Fields(i).Name
                    Next
                    Sh.Range("a2").CopyFromRecordset Rs
                Else
                    LastRow = Sh.Cells(Sh.Rows.Count, 2).End(xlUp).Row + 1
                    Sh.Range("a" & LastRow).CopyFromRecordset Rs

                End If

            End If
    Next
    
    sql = "IF  EXISTS (SELECT * FROM sys.objects WHERE object_id = OBJECT_ID(N'[dbo].[T]') AND type in (N'U')) " & vbCrLf & _
" DROP TABLE [dbo].[T]; "
oConn.Execute sql