Hi,
Normally for use TFlxFormat, you need to add FlexCel.Core and FlexCel.XlsAdapter to your uses. But that applies when using FlexCel 7 and the bridges, which you probably should be using instead of AdvGridExcelIO.
AdvGridExcelIO is an old component that uses an embedded FlexCel 3 and so only supports xls. If you have the bridges installed, you should use AdvGridExcelExport instead. Most methods are similar to AdvGridExcelIO, but it is more featured and does a better export. there is really no reason to use the older AdvGridExcelIO if you are using the bridges. Docs for AdvGridExcelExport are here: TMS VCL Grid Excel bridge User Guide | TMS VCL Grid Excel bridge documentation
If for some reason you still prefer to use AdvGridExcelIO, then TFlxFormat for FlexCel 3 is defined in tmsUFlxFormats.pas. But make sure to not mix units from FlexCel 3 and 7 in the same unit: either use AdvGridExcelExport and FlexCel.Core/FlexCel.XlsAdapter, or AdvStringGridIO and tmsU... units.