Phew, I spent a lot of time to get this to work:
- Download a file in Chrome and Internet Explorer
- Make Excel understand Unicode characters (å ä ö and many more) in csv directly.
So it works on the latest Chrome (tested with 50 on Windows, Mac and Linux), Firefox (tested with 46 on Windows), Internet Explorer (tested with 11 on Windows 7). Unfortunately in Safari on a Mac, the link is opened directly in the web browser. You have to press Cmd - S to trigger Save As manually.
Part of SharePoint Utilities
I submitted this code to sputils (SharePoint Utilities) on github.