The Microsoft site suggests the following code should work:
Dim numbers = {{1, 2}, {3, 4}, {5, 6}}
However I get a complile error when I try to use it in an excel VBA module. The following does work for a 1D array:
A = Array(1, 2, 3, 4, 5)
However I have not managed to find a way of doing the same for a 2D array. Any ideas?