Hi Frank,
Thanks for your question.
If I'm understanding your question correctly, when a teammate sends you an excel file, and you open it, it opens it on a web browser and there is no option to open it in Excel. This happens to me as well and so the fix is to open Excel (after you have already opened it on the web browser). Then on the screen, there should be a screen with different Excel spreadsheets that were recently opened. Since you opened it on the web browser, it should automatically show up.
Alternatively, you can go to OneDrive and find the Excel file that your teammate shared with you. Right click the file and then there should be a button named "Open with". Hover over that button then there should be an option where you can open it with Excel.
Let me know if any of those two options worked for you, or if none of them worked. Thanks.