SYMPTOM
If HTTP compression is enabled so that the Microsoft Excel MIME type is encoded with gzip, an error will be thrown when opening the file in Microsoft Excel after exporting. The error depends on whether client-side caching is enabled or not.
With caching allowed, the following warning appears:

xxxx.xls is locked for editing by 'xxxxx'.

Could not open 'http://xxxx'.

Microsoft Office Excel cannot access the file 'http://xxxx'. There are several possible reasons: - The file name or path does not exist. - The file is being used by another program. - The workbook you are trying to save has the same name as a currently open workbook.