One method could be

-- Inputs:File name of the excel document.

-- Returns:The query result, written directly in Excel document!

DECLARE @err_desc varchar(255)

DECLARE @i int

DECLARE @xls_cell varchar(100) 

DECLARE @OProp varchar(100) 

DECLARE @O_XLS int

DECLARE @ret_val int

DECLARE @xls int 

DECLARE @file varchar(255)



SET @i=0

EXEC @ret_val = sp_OACreate 'Excel.Application', @O_XLS OUTPUT, 4

IF @ret_val <> 0 or @@Error <> 0 GOTO com_handler

EXEC @ret_val = sp_OAMethod @O_XLS, 'Workbooks.Open', @xls OUTPUT,'C:\SUCCESS.xls'

-- in case you are creating new Excel file change the upper row with the following 

--EXEC @ret_val = sp_OAMethod @O_XLS, 'Workbooks.Add', @xls OUTPUT

IF @ret_val <> 0 or @@Error <> 0 GOTO com_handler

SET @file = 'C:\SUCCESS.xls'

DECLARE authors_cursor CURSOR FOR

SELECT au_lname FROM authors 

order by au_lname asc

OPEN authors_cursor

-- Perform the first fetch.

FETCH NEXT FROM authors_cursor

-- Check @@FETCH_STATUS to see if there are any more rows to fetch.

WHILE @@FETCH_STATUS = 0





    BEGIN

    -- This is executed as long as the previous fetch succeeds.

    set @i=@i+1

    	set @OProp='Application.ActiveWorkbook.Sheets(1).Cells(' + cast(@i as varchar(2)) + ', 1).value'

    	-- genaration of correct property addressing

    	EXEC @ret_val = sp_OASetProperty @O_XLS, @OProp, @xls_cell

    	-- set the value of the property 

    	FETCH NEXT FROM authors_cursor into @xls_cell

    	--IF @ret_val <> 0 or @@Error <> 0 GOTO com_handler

END 

CLOSE authors_cursor

DEALLOCATE authors_cursor

------------------------------êðàé íà ðàáîòàòà ñ êóðñîðà

EXEC @ret_val = sp_OAMethod @O_XLS, 'Application.ActiveWorkbook.Save',Null

-- in case you are creating new Excel file change the upper row with the following 

--EXEC @ret_val = sp_OAMethod @O_XLS,'Application.ActiveWorkbook.SaveAs',Null, 'c:\success.xls'

IF @ret_val <> 0 or @@Error <> 0 GOTO com_handler

EXEC @ret_val = sp_OAMethod @O_XLS, 'Quit'

-- I've commented the following line deliberately. SEE NOTE AT THE END

--EXEC sp_OADestroy @O_XLS

GOTO Done

com_handler:

	CLOSE authors_cursor

	DEALLOCATE authors_cursor

EXEC sp_oageterrorinfo @O_XLS, @ret_val out, @err_desc out

-- the last parameter gives small textual description of the error. It was very usefull!!

select @ret_val, @err_desc

EXEC @ret_val = sp_OAMethod @O_XLS, 'Quit'

EXEC sp_OADestroy @O_XLS

GOTO Done

Done:

-- I've commented the last line deliberately: It was causing the whole automation process in SQL to stop

-- so no futher automation instances could be created until the server was restarted. I read in MSDN that the instance

-- should be destroyed right after the SQL batch is completed, that is why I consider the last row not neccessary. BUT 

-- you should check it yourself

--EXEC sp_OAStop

Cheers,