Is it possible to auto update Currency Exchange rate on an Excel Sheet from
an internet based web site? If yes, then how and which site is best to use.

I find the best way is to do a web query. Go to 'Data' -> 'Import
External Data' -> 'New Web Query'

Finance at Yahoo is very good an example URL is;
http://finance.yahoo.com/currency/co...submit=Convert

As you can see from above, should you want to automate the generation
of these web queries, the URL is predictable - hence you can change
the Currencies and amounts manually or programatically. If you wanted
help with that, post another request.

Cheers,
Haydn