Did you close SQL Developer before deleting the file?
sqldeveloper was probably holding the file open and still writing data to it
this can take a long time if your result set is huge or the underlying query is slow
for big numbers of rows, XLSX works better than XLS, and CSV is even lighter
once the export is ongoing, you may need to actually kill the exe from the task manager before the file can be deleted (canceling the query does not always succeed)
if you suspect a query will take a long time to complete, it is a good idea to run it from an unshared worksheet so it does not tie your whole IDE (or at least your primary connection to a given database)
Perhaps you are running into some Excel limitations, but normally an xlsx export works fine if done from SQL Developer 4.0 or higher.
See my post in the following discussion for more information: Issue with copying data from the query result into excel