What i use is a combined solution between FLEX and PHP. That is on PHP side: SpreadSheet Excel Writer (Pearl Libs) web: http://pear.php.net/package/Spreadsheet_Excel_Writer
In Brief: you add the dataprovider from your datagrid to the server side .php, where you implement the excel writer, and than the writer sends an URL request to you, pops up the browser to download the xls file. Simple that. As far as I know, no embedded solution exists for Flex.