No simple way to do that comes to mind. It can be done, but the options take some doing. It may be easier just to edit the first row after the fact.
XML exports offer quite a few ways to format the data during export. If you can learn how to manipulate the XSLT "Grammar", there is probably a way to control what text is used for the column headers.
You can import the data into a temporary table used only for your excel import. This table can have fields for the related data that are part of the same records instead of linked in via relationship--which eliminates the "table::" tags in the column headers. It can also have field names completely different from those of your original tables should that ever become something you need.
Thanks for your reply Phil - creating that temporary table might be the solution. I'll give that a go!