are you using msie as browser? it seems msie has problems with this kind of job, when there is no expiration date/time set in the http headers.
i had a similar problem once, and adding these headers solved them...
Yes. It brings up the "warning" screen which means that it knows that some Excel content is on the way, which means that the pre-http headers are being delivered.
Same result on browser. In fact, same result if I run browser from RDP session to Citrix server.
