I have spent some time to figure the following problem.
Im using CF7 & CFDB in Hebrew.
Export TSV16 works fine and provide file links properly
ONLY IF the whole link to the file is in ENGLISH.
One must make sure the file name AND form name are in English.
It seems to be an excel (2007) problem.
But if you wish to use CFDB, you should know it...
Hope it helps!