If you encounter this message, it is because of a change introduced in Microsoft patch. There is a fix for it and you can read about it below.

http://www.infoworld.com/article/3106774/microsoft-windows/good-news-for-microsoft-office-renamed-html-files-now-open-in-excel.html

https://answers.microsoft.com/en-us/msoffice/forum/msoffice_excel-mso_win10/cannot-open-html-files-in-excel-2016-office-365-on/56b5de8a-2026-4202-8d73-0c96e39c06af

http://forums.yessoftware.com/posts.php?post_id=125348

One workaround is after downloading file, right-click on it and check the box “Unblock” (at lower right corner of the panel).