If you save a multi-worksheet Excel workbook as a web page (.htm) then you will end up with more than one file. If you were to to do that in ASP then you would have to create the supporting files and reference them in the main page.
If your target audience are using Excel 2003 or 2007 then you have some more options.
A fairly simple one is to output your multi-worksheet workbook as XML. Microsoft have documented this somewhere (probably on MSDN) but I often find it easier to create a mockup of the results file in Excel and save it as XML to see what is required.
Here is a fairly simple example:
<%
Response.ContentType = "application/vnd.ms-excel"
Response.AddHeader "Content-Disposition", "attachment;filename=file01.xls"
%>
<?xml version="1.0"?>
<Workbook xmlns="urn:schemas-microsoft-com:office:spreadsheet"
xmlns:o="urn:schemas-microsoft-com:office:office"
xmlns:x="urn:schemas-microsoft-com:office:excel"
xmlns:ss="urn:schemas-microsoft-com:office:spreadsheet"
xmlns:html="http://www.w3.org/TR/REC-html40">
<OfficeDocumentSettings xmlns="urn:schemas-microsoft-com:office:office">
<DownloadComponents/>
<LocationOfComponents HRef="file:///\\"/>
</OfficeDocumentSettings>
<ExcelWorkbook xmlns="urn:schemas-microsoft-com:office:excel">
<WindowHeight>12525</WindowHeight>
<WindowWidth>15195</WindowWidth>
<WindowTopX>480</WindowTopX>
<WindowTopY>120</WindowTopY>
<ActiveSheet>2</ActiveSheet>
<ProtectStructure>False</ProtectStructure>
<ProtectWindows>False</ProtectWindows>
</ExcelWorkbook>
<Styles>
<Style ss:ID="Default" ss:Name="Normal">
<Alignment ss:Vertical="Bottom"/>
<Borders/>
<Font/>
<Interior/>
<NumberFormat/>
<Protection/>
</Style>
</Styles>
<Worksheet ss:Name="Sheet1">
<Table ss:ExpandedColumnCount="1" ss:ExpandedRowCount="1" x:FullColumns="1"
x:FullRows="1">
<Row>
<Cell><Data ss:Type="Number">1</Data></Cell>
</Row>
</Table>
<WorksheetOptions xmlns="urn:schemas-microsoft-com:office:excel">
<ProtectObjects>False</ProtectObjects>
<ProtectScenarios>False</ProtectScenarios>
</WorksheetOptions>
</Worksheet>
<Worksheet ss:Name="Sheet2">
<Table ss:ExpandedColumnCount="1" ss:ExpandedRowCount="1" x:FullColumns="1"
x:FullRows="1">
<Row>
<Cell><Data ss:Type="Number">2</Data></Cell>
</Row>
</Table>
<WorksheetOptions xmlns="urn:schemas-microsoft-com:office:excel">
<ProtectObjects>False</ProtectObjects>
<ProtectScenarios>False</ProtectScenarios>
</WorksheetOptions>
</Worksheet>
<Worksheet ss:Name="Sheet3">
<Table ss:ExpandedColumnCount="1" ss:ExpandedRowCount="1" x:FullColumns="1"
x:FullRows="1">
<Row>
<Cell><Data ss:Type="Number">3</Data></Cell>
</Row>
</Table>
<WorksheetOptions xmlns="urn:schemas-microsoft-com:office:excel">
<Selected/>
<Panes>
<Pane>
<Number>3</Number>
<ActiveRow>1</ActiveRow>
</Pane>
</Panes>
<ProtectObjects>False</ProtectObjects>
<ProtectScenarios>False</ProtectScenarios>
</WorksheetOptions>
</Worksheet>
</Workbook>