This was one of the features that came with BI4.1 SP6, so I though I would try it.
I always forget, Live Office is a separate client install. I hadn't installed on my newer laptop until today.
I use the familiar eFashion .UNX universe.
Above is the familiar query panel
Now click Finish
The results in Excel are shown above.
Finally I save it to the repository.
Reference
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ASUG Webcast: Aug. 25 What is New in BI4.1 SP06
ASUG Webcast: Sept. 15 What is Coming in SAP BusinessObjects BI4.2