Campaign Management allows various exports front the system to be saved as “Excel 2003+” format. When such exports are opened in excel, an alert is displayed. This warning is caused by the fact that the system generates these files as “Excel XML” files, which is an XML file formatted specifically for Microsoft Excel. The system saves these .xml files with .xls extension to ensure that Microsoft Windows opens them using Excel (instead of some other XML editor).
Microsoft made changes to their MS office application in 2007, to display such alerts as a security measure. Further, after this security measure was implemented, Microsoft did not provide any native support for this format in .NET that is used by Campaign Management.
Users can safely continue to use Excel format as a way to generate these exports. Alternatively, Users also have the option of generating their exports in .csv (Comma Delimited) format, or .txt (Tab Delimited) format both of which can be opened in Excel since it has native support for .csv and .txt formats.
Microsoft's KB article 948615 explains why this is happening:
Also an MSDN blog on this subject: