Clicking on the Generate CSV icon does not open a CSV file.

Assuming you are a Windows user, open your Windows Explorer (not IE) and find any CSV file on your PC i.e. "whatever.csv".

Right-click on the file, click 'Properties' and make sure you are on the 'General' tab.
Where is says 'Opens with' click the 'Change' button, find Excel (or OpenOffice if you use OpenOffice) on the list. Click on it, then 'OK' > 'Apply' and 'OK'. This will set Windows to open CSV file with the right application.