I would not recommend ActiveX or anything that tries to run code outside of the browser on the client system. ActiveX only works on IE not to mention the inherent security risks that brings about.
A possible method would be to use a server side script along with jquery to generate the file and return it without ever leaving the page your on. It looks good and you don't really have to jump through hoops to make it work nor will the user. (if you want an example of the jquery required to do this let me know).
For c# there is alot of tutorials on generating excel files from your data for example here.
The only reason I can think of that you would want to create the file locally is use of resources on your server. C# will be extremly efficient in generating that file not to mention there are a couple things you can do (dependant on the data) to negate any impact it has:
- If the data changes are few and far between consider storing the
generated file and directing to that the next time until the data has
been changed.
- Limit the data set it returns by way of a search criteria
There are plenty more optimization you could do but you get the idea.