I am not sure whether it is the way to do it, but you may try this, it worked for me.
In query analyzer,
* In Query Menu, select Results to File , also by pressing Ctrl+Shift+F
* In Tools -> Options menu, Results tab, clear flag for "Print column
headers(*)"
Execute your sp now, file save dialog will open where you save the file with
.xls extension.
Assuming your SP return result set, this method should work. While opening
file in EXCEL you may get some formatting question for EXCEL to format it
correctly.
I hope this helps you.
Thanks,