Try delimiting with tabs instead - Excel handles tab-delimited data better than comma-delimited since commas within the data may cause issues.
You can also use StringBuilder.AppendLine
to improve performance and avoid adding line breaks manually:
StringBuilder s = new StringBuilder();
s.AppendLine("Nick-Name\tCategory\tWeb-Pages\tICQ\tSkype\tMail\tPhone");
for (int i = 0; i < listOfUsers.Count; i+=3)
{
s.AppendLine(
nickName[i] + "\t"
+ category[i] + "\t"
+ webList[i] + "\t"
+ ICQList[i] + "\t"
+ skypeList[i] + "\t"
+ mailList[i] + "\t"
+ phoneList[i]);;
}