There might be limitations inside Excel itself that will prevent you from opening too many sheets (like you said, you were trying to open each AUS market, which can make up to a hundred markets).
Make sure you are not editing anything in Excel when the markets are loaded: if you double-click on an Excel cell, it will enter into an editing mode, and this will effectively block any interaction with the program.
What happens if you have just one AUS market in "My Markets"? Does it open in Excel?