This happens for example, when you try to export data to excel from a datagrid.
The problem occurs if the server is using Secure Sockets Layer (SSL) and has added one or both of the following HTTP headers to the response message:
Pragma: no-cache
Cache-control: no-cache,max-age=0,must-revalidate
For more details refer PRB: Internet Explorer Is Unable to Open Office Documents from an SSL Web Site