Download the latest of M. Petch's Python scrips from here: 
http://vcs.capp-sysware.com/gitweb/?p=backgammon/xgdatatools.git  **
Install Python
Put the xg game file in same folder as M. Petch's scripts. Rename it to a.xg

Suppose you put them all in a folder called "Petch" in C:\
From a command Prompt window you would type
cd.. {cd,  2 dots, then press enter).
Do this a few times until you reach C:\
then type cd Petch and press enter.
Then type 

extractxgdata.py a.xg > XgGameData.txt

Wait until it finishes -press enter to make sure it did. It will change line if it did, otherwise it won't.
It sometimes takes more than a minute.
Put the file XgGameData.txt directly in C:\

Open ConvertXgToMat.xls, and press the button "ALL". It will initially run minimized.
Eventually it will create a file XgConvertedFile.mat in C:\
This was written using Excel 95 to be forward compatible with newer versions.
Depending on what version of Excel you have you might need to disable macro security or just set it to low.
You may also need to enable all it's "add-ins" especially the VBA one.

** Link not working anymore. Copies added to this zip file