Recently I came across very weird issue of “Export to Spreadsheet” in MOSS 2007 list.
Here I am using word "weird" because I did not find this issue related to IE settings.
When I click on one of the list it says “Cannot connect to the server at this time. Changes to your data cannot be saved” and at the same time my collogues were able to get this working.
Troubleshot the problem from multiple aspects and narrowed down the problem to machines/repro scenario when the SharePoint site had been accessed from Vista/Win7 clients with SSL (https) and with the local user account.
Turned out that the problem was related to certificate revocation lists (CRLs) and had been an issue due to the following setting in IE: "Check for server certificate revocation" which is switched on by-default on Vista/Win7 clients as opposed to XP clients. When this IE switch got turned off, everything was working fine.