I wanted to give a big THANK YOU to Alpha for giving me help with an issue I was having with my users and their attempts to export grid data to Excel. Here is a video about the issue: http://screencast.com/t/pRB8k3KAU

Below is the code that Alpha sent me to handle this. (Except I added all the verbage about Open versus Save etc., window title, and link verbage).
I hope this helps someone else.

Code:
function OpenDownloadWindow as v (e as p)
'This function is called on the server after the records have been exported, 
'and the export file has been created.

dim b as b 
b = file.to_blob(e.exportfilename)	
dim key as c 
key = "sessfile" + time("hms3",now())+ ".xls"
session.saveDataAsFile(key,b)
dim url as c 
url = Session.FormatFileDataURL(key)


'prevent the built-in file download
e.abort = .t.


'send a javascript response to the client
dim js as c 
js = <<%js%
{grid.object}._showWindow = function(url) {
	var windowName = 'filedownload';
	var currWindow = {Grid.object}.getWindow(windowName);
	if(!currWindow) {
		currWindow = {Grid.object}.createWindow(windowName,'modal',
		{body: {content: {type: 'blank',elementId: '~'}},
		height: '3in',
		width: '7in',
		title: {html: 'Open or Save Excel File',location: 'top'},
		disableMove: false,
		theme: '{grid.style}'
		}
		);		
	}
	var windowDiv = currWindow.getWindowId('body');
	var arrHTML = ['<b>Your Excel file has been created.</b><br><br>To Open the file, just click the link.&nbsp;&nbsp;However, depending on how your browser decides to open the file, you may NOT be able to Save the file after it opens.<br><br>To SAVE the file, right-click the link and select Save As.<br><em>(Depending on your browser, it might be called Save Target As OR Save Link As .)</em><br><br>We recommend right clicking on the link and saving the file for best results.<br><br>'];
	arrHTML.push('<a target="_blank" href="'+url+'"><font size=+1>Right-Click this link to Save (recommended) OR Click this link to Open.</font></a>');
	var windowHTML = arrHTML.join('\n');
	$(windowDiv).innerHTML = windowHTML;
	currWindow.show();
}
%js%

js = js +";" +  crlf() + "{grid.object}._showWindow('" + js_escape(url) + "');"
e.rtc.A_AjaxResponses[].text = js
e.rtc.A_AjaxResponses[..].id = 100000
end function