This may be a recent change to Yahoo! Finance. The historical prices show the actual prices (open, high, low, and close) and an adjusted close that reduces closing prices from before a dividend by the amount of the dividend. When you download this to their spreadsheet, the actual figures are replaced with the adjusted figures.
For example, for XOM on May 1, these are the figures displayed in table form.
Open = 35.32
High = 35.77
Low = 34.99
Close = 35.48
Adjusted Close = 35.23 (because of a dividend on May 9)
The downloaded data is:
Open - 35.07
High = 35.52
Low = 34.74
Close = 35.23