I ran into this error today when setting up Project Web App 2010 to run as a RemoteApp via TS Web App.  I created an IE link to the PWA URL, however, I did not notice I selected the x64 bit version of IE.  Once I located and selected the x32 bit version the error went away.

To be clear, the error would be generated when selecting to open an Excel based reporting template from the Business Intelligence Center. 

-Dan