This is caused by this bug report in Excel and the SLYK file format:
This problem occurs when you open a text or CSV file and the first two characters of the file are the letters ID (uppercase). For example, the text file may contain the following text:
A SYLK file is a text file that begins with "ID" or "ID_xxxx", where xxxx is a text string. The first record of a SYLK file is the ID_Number record. When Excel identifies this text at the beginning of a text file, it interprets the file as being a SYLK file. Excel attempts to convert the file from the SYLK format, but is unable to because there are no valid SYLK codes following the "ID" characters. Because it cannot convert the file, Excel generates the error.
To open your file in Microsoft Excel, first open the file in a text editor and insert an apostrophe [Ed: or any other character, or change "ID" to lowercase] at the beginning of the first line of text.
This is true for the Stack Exchange download when your query requests that the first column be labeled "ID". It's true for any .csv file where the first column is labeled "ID". This is not a problem with Stack Exchange Data Explorer, it's a bug in Excel, which should not attempt to determine whether a file is a .csv file or .slyk file from the first two letters.