Problem with Excel Save Copy As

I have a user with Lotus Notes 6.5.3 and Office 2003 SP1. When they open (in edit mode) an embedded Excel document, and go to File… Save Copy As… and enter in ANY destination (local C: drive (logged on as local admin) or a network drive they have full rights to), they get this error:

Excel could not save all the data and formatting you recently added to Worksheet blah blah.

To return to your workbook without saving click Cancel

If you want to continue saving changes without repairing the problem, click OK.

How do I resolve this issue?

Thanks!

Michael