Incluir ComObj no uses

procedure TFormFiltro.BBExportarClick(Sender: TObject);
var CamposExcel, CamposDelphi, linha: integer;
    excel: variant;
begin
  if SaveDialog1.Execute then            
  begin
    try
      Excel:= CreateOleObject('Excel.Application');
      Excel.Workbooks.add(1);
      Excel.Workbooks[1].SaveAs(SaveDialog1.FileName);
    except
      Application.MessageBox ('Versão do Ms-Excel'+
      'Incompatível','Erro',MB_OK+MB_ICONEXCLAMATION);
      exit;
    end;
    with TFormProgresso.Create(nil) do   //Para criar um form para mostrar o processamento
    try
      ProgressBar1.Max := DMAvarias.QyFiltro.RecordCount;
      Show;   // show a splash screen contain ProgressBar control
      Update; // force display of Form5
      begin
        for CamposDelphi:= 1 to DMAvarias.QyFiltro.FieldCount - 1 do
        begin
          Excel.Cells[1,CamposDelphi]:= DMAvarias.QyFiltro.Fields[CamposDelphi].DisplayName;
        end;
        Linha := 2;
        DMAvarias.QyFiltro.First;
        while not DMAvarias.QyFiltro.Eof do
        begin
          for CamposExcel:= 1 to DMAvarias.QyFiltro.FieldCount - 1 do
          begin
            Excel.Cells[Linha,CamposExcel]:= DMAvarias.QyFiltro.Fields[CamposExcel].AsString;
          end;
          Inc(Linha);
          DMAvarias.QyFiltro.Next;
          ProgressBar1.StepBy(1);
        end;
        Excel.Columns.AutoFit;
        Excel.WorkBooks[1].Save;
        Excel.WorkBooks[1].Close;
      end;
    finally
      Free;
    end;
  end;
end;