All server side interactions are based on simple GET and POST requests, you don't have to do any extra setup for this demo.
In export demo there are 2 requests, first one is POST request send by grid, $_POST['excel'] contains the Excel contents which can be temporarily saved in a session ( as shown in sample code ) or any other storage and server script is supposed to echo the filename after saving the posted contents.
In second $_GET['filename'] request, previous session is served as a downloadable file.
Just take care that url parameter in the below method points to PHP script on your server.
$("#grid_export").pqGrid("exportExcel", { url: "/pro/demos/excel", sheetName: "pqGrid sheet" });