With Excel 2010 I had none of the options shown above until I download and install the Power Query Add-In for Excel 2010.
For Excel 2016, 2013, 2010, 2007 see the following...
Connect to a web page (Power Query) - Office Support
https://support.office.com/en-us/article/connect-to-a-web-page-power-query-b2725d67-c9e8-43e6-a590-c0a175bd64d8
Thanks for the How To details!