Recently I was working with Excel Services and trying to publish an Excel Report to an document library in SharePoint.  Actual is was the Sample Reports library for Project Server 2010.  I basically while in Excel navigated File –> Save and Send –> Save to SharePoint.  In the resulting dialog box I pasted the Sample Reports into the URL space and clicked the Refresh button.  Every time I did I’d get a “You can’t open this location using this program” error message.  Providing a little more background, I was trying to perform this action from the Project Server application server.  Come to find out the issue was that I needed to install the Desktop Experience on the server in order to perform this function.

Launch the Server Manager, and click on Add Features.

Add Desktop Feature

Enabling this will require you to restart the server

Now when you enter the url in the Save As dialog you get access to SharePoint sites and libraries.

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Done, all works as expected!