In reply to jon.

Yes -- don't use DBMS=Excel4, which is the Excel format from 1992!

Try one of these:

proc export
data=sashelp.air replace
outfile="c:\temp\air.xls"
dbms=EXCEL /* dbms=EXCELCS on 64-bit SAS */
label
;

This should transfer the values to Excel as a Date, but the format will show as the Excel date.
Or, with SAS 9.3m2 or later:

proc export
data=sashelp.air replace
outfile="c:\temp\air.xlsx"
dbms=XLSX
label
;

This should retain the original format if that format can be represented in Excel. (Not all SAS date/datetime formats have Excel equivalents.)