URLs extracted using Query Builder into an Excel spreadsheet are not clickable. This is as a result of the way the Microsoft API that we use for this works, so we can't readily change it. However, there is a simple solution in Excel.
In the Excel report, add a new column next to the URL. Add a new formula after the header row in that column:
=HYPERLINK(A2,A2) (this assumes the original URL is in column A).
Copy this down to the rest of the rows in the spreadsheet.