westconn1, once again your great suggestion lead me in the right direction. Here is the code that lets me select the file format from the dropdown list and click OK, all within the child window.. What I didn't realize until I tried your code is that it let me work with the HTML elements within the document. Thanks so much for your help!

Code:
    Dim sh          As Object
    Dim wb          As Object
    Dim ieDoc       As MSHTML.HTMLDocument
    Dim elems       As MSHTML.IHTMLElementCollection
    Dim e           As MSHTML.IHTMLElement

    Set sh = CreateObject("shell.application")
    Set wb = sh.Windows(sh.Windows.Count - 1)
    Set ieDoc = wb.Document
' Select the report format from the dropdown list. Index is 0-based.
    ieDoc.getElementById("exportformatlist").selectedIndex = 3

' Click the OK button.
    With ieDoc
        Set elems = .getElementsByTagName("input")
        For Each e In elems
            If ((e.getAttribute("className") = "crexportbutton") And _
                e.Value = "OK") Then
                e.Click
                Exit For
            End If
        Next e
    End With

 ' Clean up.   
    Set sh = Nothing
    Set wb = Nothing
    Set ieDoc = Nothing