As mentioned already by Mikael Eliasson, once you have run your query, you can left click on a data cell and do CTRL+A, to select all your data (except not the headers),

then hold down CTRL+SHIFT and press 'C', this copies all your data including Headers,

then go into Excel and paste your data into a new Excel document. Job done.

Or you can right-click on your data to show the pop up menu, then "Select All", then "Copy with Headers". Then paste into an new Excel document.

Added this as I feel more precedence should be given to his last comment (I initially missed it and found this answer by trial and error myself)