An example of how useful the Yahoo API can be. Get your Yahoo local results directly into Excel! Build your own list... I tried pretty hard to do this with SOAP and the Google AdWords API, and barely got it to work - I had to use .NET VISTO and it only works on Excel 2003. Maybe the REST approach is just easier...
Note that it's Excel 2003 that handles the XML lists well - even with the Yahoo API. Check that you have the right version of Excel, or it probably won't work.