Does VBA have Dictionary Structure?

Yes.

Set a reference to MS Scripting runtime ('Microsoft Scripting Runtime'). As per @regjo's comment, go to Tools->References and tick the box for 'Microsoft Scripting Runtime'.

Create a dictionary instance using the code below:

Set dict = CreateObject("Scripting.Dictionary")

or

Dim dict As New Scripting.Dictionary 

Example of use:

If Not dict.Exists(key) Then 
    dict.Add key, value
End If 

Don't forget to set the dictionary to Nothing when you have finished using it.

Set dict = Nothing 

VBA has the collection object:

    Dim c As Collection
    Set c = New Collection
    c.Add "Data1", "Key1"
    c.Add "Data2", "Key2"
    c.Add "Data3", "Key3"
    'Insert data via key into cell A1
    Range("A1").Value = c.Item("Key2")

The Collection object performs key-based lookups using a hash so it's quick.

---

You can use a Contains() function to check whether a particular collection contains a key:

Public Function Contains(col As Collection, key As Variant) As Boolean
    On Error Resume Next
    col(key) ' Just try it. If it fails, Err.Number will be nonzero.
    Contains = (Err.Number = 0)
    Err.Clear
End Function

Edit 24 June 2015: Shorter Contains() thanks to @TWiStErRob.

Edit 25 September 2015: Added Err.Clear() thanks to @scipilot.