Is the client using IE plugin or Ajax?
Are you using the XL button? Can you export it using right click -> Export ... -> Excel format?
You can try to add the server address on the list of trusted sites.
EDIT: Another option here:
A: Go to Tools > Internet Options > Security and Press Custom Level...
Now locate Automatic prompting for file downloads and make sure it is set toEnable.
Also make sure you allow the popup from this page if you have a popup blocker running.
Message was edited by: Erich Shiino