Excel Workbooks

Taking the code from here: http://cfsilence.com/blog/client/index.cfm/2006/7/19/Creating-Multiple-Tabs-in-Excel-with- Coldfusion I can generate the tabbed Excel file in Firefox, and I can get the tabbed Excel file from the link on the above page. However, when I use the code on my own servers and try to open with IE7 I just get:
Test Data 1
Test Data 2
No Excel Open/Save or anything.

Is this an IE7 thing? I don't think so, since I can get to the correct output from the link's site ( http://cfsilence.com/blog/tips/ExcelMultipleWorksheets.cfm)

Any ideas?