Sometimes you will download and open data files that are already in Excel format (.xls or .xlsx). At other times you may be opening a data file that is in an alternative format, like .txt or .csv. These formats can easily be read by Excel, but sometimes Excel doesn't load everything correctly using the defaults.
Excel will try to guess what kind of variable you have in each column - text or number. If something looks like a number, Excel will apply rules that it applies to all numbers. One of these rules is that numbers can't start with "0." If you have data that look like numbers but actually have zeroes at the beginning - for example, zip codes - you may accidentally lose those zeroes when you open the data file.
To specify the data type of some of your columns when you open the data file, you want to use the "Get External Data from Text" option. This Text Import Wizard will allow you to specify other things, like where the data should be imported and whether you want to skip some of the columns.