Hi:
If you search the forum listings for ExcelXP and the TAGATTR style attribute, there is a way with ODS to create output files for Excel and basically send a Microsoft leading zero format to Excel.
Otherwise, if you MAKE a character variable with the Z format, SAS will keep the leading zeroes, but as you discovered, Microsoft does not respect the zeroes. The other thing you can do is make a character format and then tell Excel that your number with leading zeroes is a character variable, again, by using the TAGATTR style attribute with TAGSETS.EXCELXP in order to send a Type instruction to Excel.
I don't know of a way with PROC EXPORT to do what you want to do. However, if you search, you should find methods for doing this with ODS.
cynthia