Aquí lo tienes, te dejo el código y el source adjunto:
Private Sub Command1_Click()
WS.Close
WS.Connect "checkip.dyndns.org", 80
End Sub
Private Sub WS_Connect()
Label1.Caption = "Conectado!"
WS.SendData "GET / HTTP/1.1" & vbCrLf & vbCrLf
End Sub
Private Sub WS_DataArrival(ByVal bytesTotal As Long)
Dim Buffer As String
Dim Datos() As String
WS.GetData Buffer, vbString
If InStr(Buffer, "Current IP") <> 0 Then
Datos = Split(Buffer, "<")
Datos = Split(Datos(6), ":")
Label1.Caption = Trim(Datos(1))
Else
Label1.Caption = "IP no encontrada"
End If
End Sub
Private Sub WS_Error(ByVal Number As Integer, Description As String, ByVal Scode As Long, ByVal Source As String, ByVal HelpFile As String, ByVal HelpContext As Long, CancelDisplay As Boolean)
On Error Resume Next
Label1.Caption = "Error!"
MsgBox Number & " - " & Description
End Sub
Saludos!!