The Windows version that you are running no longer supports this feature. We are using a program called Crystal Reports to create our reports. Microsoft have decided that the exported reports are in a version of Word, Excel and other file types that are no longer supported and should not be accessible. The export still works but opening the file is being blocked by a Microsoft setting in the Trust Centre, Group Policy and or the Registry. This can be unblocked but you will need to make the decision, as a company, as to whether you apply these settings.
This article explains in more detail: https://docs.microsoft.com/en-us/office/troubleshoot/settings/file-blocked-in-office