The code you posted selects all of the .UsedRange and is equivilant to:
ActiveSheet.UsedRange.Select
If you want to create an array that has the values in the first three columns of the sheet,
Dim myRange As Range
Dim myArray As Variant
With ActiveSheet
Set myRange = Range(.Range("a1"), .Range("c65536").End(xlUp))
End With
myArray = myRange.Value
will do the job. (If you only want the data without the headers use "a2" rather than "a1".)
myArray will be a dimensioned (1 to n, 1 to 3) where n is the number of rows.
I hope this helps.