There are a couple of things which seem to confuse people or cause trouble:
a) The recommended process has a couple of steps - first, read the document metadata (the link you have there) and check which formats are available (mime types). Currently I believe most documents are primarily available in PDF format.
b) When you request the document content, you specify which format you want by setting the http Accept header to the desired mime type.
c) When you make the request for the document content Companies House return a redirect to the server where the data is hosted. Many environments can or do automatically “follow” the link, but some may not. Also - the servers which host the document data have a different authentication mechanism from Companies House. Some people find that their systems try to send the Companies House authorization details (the http Basic Authorization header, including the API key) to these hosting servers, which will then reject the request (since they don’t use these details).
All of the above means you may need to catch the “redirect” response from Companies House and separately make the request to the hosting server for the file. Equally - some systems apparently do this automatically without issues. It depends! For full details see the post in the thread below (and links from it).
Other people have posted about using Excel here, so you might also search this forum for their experiences. To do so use the “magnifying glass” icon (top right, usually).