Hi Rajesh,
I understood your requirement as from ALV you want to download the data to an Excel sheet.
In standard ALVs, you need to do this
In other cases like Z programs etc, often Icon is provided (as you said) like this
You need to select Local File option here as shown below
In both case you will get this pop-up
Now when you continue you will get SAVE dialog-box, where you can give a name to your excel file and Save.
Hope this is your query.
Jogeswara Rao K