I'm sure Jon Shaws reply is helpful for those who are into the microsoft tools. Personally I'm not 😉
However, I have in many occations exported to CSV (wich actually tends to be semicolon separated values, not comma-separated) from excel and imported into mysql.
Take a look at mysqls LOAD DATA INFILE function, it's fast, it's furious, and it works 🙂
http://www.mysql.com/doc/L/O/LOAD_DATA.html