I need to create a DTS package, which will execute stored proc and
export a result set into Excel without creating intermidiate table in SQL and
export it to Excel

If the stored procedure returns a result set then you can use a
Transform Data Task in the DTS Designer. In the Transform Data Task
properties "Source" section, select to use a SQL query and write "exec
<stored proc name>"

I hope that helps.

Darren,
Thank you very much, it works.
Regards,
Ilin

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Darren,
One more question: Is it possible do not save this excel file anywhere but
create it on a fly and send it in email at certain time using DTS?

Thanks,
Ilin

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I'm afraid I don't know how to do that. But perhaps somebody else can
help you there?