Hi Faraz,
If your system is NetWeaver 7.0 Enhancement Package 2, than we have Export button(Default button) functionality in WD ALV and user have also options to rename their file with save as options .
I'm not aware why you are using extra functionality to export the ALV content to Excel until unless you need any customization in the data content(e.g. color, header information change) .
sometime long concatenations also give problem while exporting the data.
After Exporting the file to your local machine, if you are getting warning while opening the Excel file, than its file compatible issue file content and extension which is from MS EXCEL.
I think it should not be an issue, If still user don't want the warning ,please check below link it may be help you.
you can check below link for more information
https://support.microsoft.com/en-us/kb/948615
Thanks
Nidhi