Note: This tutorial is only for people comfortable with modifying the registry.

I do not accept any responsibility for any damage you may do to your system by following this tutorial either correctly or incorrectly.

1. Open the registry editor by going to run… in the start menu and typing regedit
2. You will see a tree of keys to the left and values to the right double click  HKEY_CURRENT_USER to expand the tree
3. Open Software, Microsoft, Internet explorer in the same way as in 2
4. Right click the Internet explorer option in the menu on the left (that you just expanded) and choose New -> Key, for the name of the new key type MenuExt
5. Right click the new MenuExt key and add a another new key named &Export To Excel, just as you did in step 4
6. Left click the new &Export To Excel key to highlight it and in the right hand pane you’ll see a default value setting double click this and in the value box type: res://[your path to excel goes here] /3000  
   On my machine for example I type: res://C:\Program Files (x86)\Microsoft Office\Office12\EXCEL.EXE /3000
7. Close down all internet explorer windows and close regedit when you next open internet explorer you should have the export to excel option

References:

http://www.christopher-dean.co.uk/?p=70
http://www.jfitz.com/tips/search.htm
http://support.microsoft.com/kb/277621