Haven't dug into that aspect of 2007 but in the 2003 version, the
export to spreadsheet function exports the VIEW, not the filters you
apply as those filters are temporary. To get the export you want,
create a view and export that.
The filter view is a localized setting.

If your filter is part of the defined List View it should apply to the
export. However, if the filter is applied from the column header, it is
only a temporary filter. This is because the export uses the List View's
CAML to query the database and export to the spreadsheet.