Hello Anais,
what you have described as wanted functionality is an incorrect behaviour and direct opening in Excel is the correct one, actually... 
Direct export to Excel is much nicer via XML, usually solves problems with special characters and number formating. Is there a special reason to use CSV instead?
The behaviour is dependent on Internet Explorer settings for the zone, to which falls the address of you SAP CRM server. Check OSS note 1724295 - Data is not exported in the XML format when clicking on
the "Export to Spreadsheet" button and try to make something opposite of what is recommended there. Quoting:
To use XML export you have to fullfill the following requirements:
- You need Microsoft Office 2003 or newer or Microsoft Excel 2003 or newer, and the Office edition must be Professional (you can check the edition in the About box of Excel in the second text line).
- The Internet Explorer security setting "Run ActiveX controls and plug-ins" and "Initialize and script ActiveX control not marked as safe" should be set to "Enable" (or at least "Prompt").
I am not sure if there is any server parameter, which would force export to CSV under any circumstances.
Regards,
Dawood.