When I create my Custom Report, it lets me pick the output type, like Word doc, Excel, etc. Why won't it export a file in the file format I choose?

Right now I have to create a CSV file, then copy and paste the data into Word or Excel, and it takes quite a bit of work to make it usable from there. If I could really get it to make a Word of Excel doc for me, that would be great.
Any hints?
Thanks!