This is likely due to a new security setting that Microsoft may have implemented for newer versions of Excel. We have not made any changes to our system, and there's nothing we can change on our end
However, please try one of the following two options to fix this:
A) to the downloaded file and right click on the file to open the properties, then click 'unblock'. You should be able to double click the file then, and if you get a warning, click 'yes'.
B) Turn off Protected View in Excel. I'm not sure about 2016, but in 2013 it's found in File>Options>Trust Center>Trust Center Settings>Protected View; then deselect the first three checkboxes. If that doesn't work, go to the same place and uncheck the remaining checkboxes.
Please be aware that using option B may mean that you need to be more vigilant about where you download Excel files from.