End user cannot open a .xls report exported from Salesforce

We experienced the same issue and found a workaround that works for us. Right click the excel file you downloaded, click on properties. On that screen hit the "unblock" button and then hit apply. You should be able to open the file now.

Is KB3115322 (Security Update for Excel 2010) installed? If so, uninstalling this update worked for us. I notified Salesforce about the problem so that either Salesforce or Microsoft fixes the issue, since the update is flagged as critical by Microsoft.

It's KB3115262 related to Excel 2013. It's KB3115272 related to Excel 2016.

I contacted Salesforce's Support team and they provided this article as a temporary fix.

They also mentioned:

"Our R&D team has investigated this matter and logged a New Issue for it to be repaired. Unfortunately, I cannot provide a timeline as to when this repair will be implemented due to Safe Harbor constraints."

Salesforce Known Issue