I use the export feature in radgrid 2008 Q2 and it works very well coming to the browser and launching excel.
My application needs to save the exported excel file to a server side file, not immediately download it.
.FileName = "-test-" & oRec.workorder
.IgnorePaging = True
.OpenInNewWindow = True
.Excel.Format = GridExcelExportFormat.Html
dgworkOrderDetails.MasterTableView.ExportToExcel() ß opens browser