Humm, realistically no since I doubt you could get it down to Earth without destroying it. Comets that we know about would be to big to just put inside a fridge in a spacecraft that came back to Earth.
One idea could be to “capture” it by putting it on an orbit somewhere near the Earth so we’d have access to it, though that would be really hard and expensive, and we don’t have the spacecraft to do that with yet. It could also be quite dangerous, since it something went wrong we might crash it into the Earth!
Instead of capturing comets and asteroids, we send space missions to go see what they’re made of. The Deep Impact mission threw an impactor made mostly of copper about the size of a fridge at a comet to see what kind of material was thrown out from the crater. http://en.wikipedia.org/wiki/Deep_Impact_(spacecraft)