There should be another option on that same screen: a button labeled "browse ...". Then find Excel. Don't forget to check the "Always use this program" checkbox or you'll have to do every time.
I recently bought a new computer and transferred everything from the old to the new. Both systems are running Windows 7 and Office 2007. On the new computer, I can only open Excel files from the Excel program; otherwise, they open in Word. When I try "open with," the only option listed is Word. Any ideas?