JMP has long had the Internet Open command in the file menu, and similar functionality is available through JSL in JMP 7. Specifically, you can now pass a URL to the Open and Load Text File operators. Here's an example that reads crop data from the USDA site. The result is a Comma-Separated Values (CSV) text stream, which JMP opens as a data table.
Open( "http://www.usda.gov/nass/graphics/county04/data/aw04.csv", text );
Some web sites implement RESTful web services where the URL contains query fields, and the result is an XML or CSV file. Here's an example of using such a service from Yahoo Finance to get historical stock prices.
url = "http://ichart.finance.yahoo.com/table.csv";
url ||= "?s=YHOO"; // stock symbol
url ||= "&a=3"; // start month - 1
url ||= "&b=12"; // start day
url ||= "&c=2000"; // start year
url ||= "&d=11"; // end month - 1
url ||= "&e=2"; // end day
url ||= "&f=2003"; // end year
url ||= "&g=d"; // daily
Open( url, text );
Of course, you can use JSL variables instead of constants when constructing the URL to provide a parameterized query.