Hi Joel,
A slash is part of a file PATH, not a file NAME.
The slash indicates the folder hierarchy of file path. Each slash represents a layer of folders. As such, a slash in a file name is simply nonsense to the operating system. Both forward and backward slashes are used by operating systems as path separators.
I'm sorry, but everything Waqas told you is simply wrong.
You can't use slashes in file names. You can't declare a subfolder folder by saving a file having a slash in it.
Not using slashes is a rule that you have to follow no matter what operating system you choose. It's that simple. There's nothing wrong with Excel, Office or your Mac. That's just one of the ground rules of file names.