By default if you export a workitem query result to Excel, you always get back a flat list. Execute following steps to change this flat list to a tree list:
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On the Team tab in Office Excel, in the Work Items group, click Add Tree Level.
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In the Convert to Tree List dialog box, click Parent-Child or other type of link (only tree link types are listed), and then click Yes.
Team Foundation changes the list structure to a tree list.