I have not used this functionality before, but looking at that dialog I would image selecting a text output file with a comma delimiter will create a csv file which can be opened straight away with excel.
If it will only let you create a file with a .txt suffix rather that a .csv suffix you can still open it in excel by right clicking on the file and selecting open with/excel or by running excel, selecting file/open and selecting 'All Files' in the file type filter and then selecting the file you have jsut created.
Let us know if you are still having problems
