Exportar datagrid a excel

Supongo que lo que quieres es exportar el recordset que esta asociado con el data grid, ¿es asi?
Te envio un ejemplo en el cual paso como parametro tanto el recordset como el grid, esto porque asi lo requiere mi aplicacion.
Tu lo puedes manipuar como quieras.
Debes incluir una referencia a Microsoft Excel Object Library.
Public Sub ExportRecordsetToExcel(rs As ADODB.Recordset, Grid As TDBGrid, Salida As String)
Dim xlApp As Excel.Application
Dim xlbook As Excel.Workbook
Dim xlSheet As Excel.Worksheet
Dim fila As Long
Dim i As Long
On Error GoTo ExportaExcel_Error
Screen.MousePointer = vbHourglass
Set xlApp = New Excel.Application
Set xlbook = xlApp.Workbooks.Add
xlbook.SaveAs Salida
Set xlSheet = xlbook.Worksheets(1)
fila = 1
'Imprimir la cabecera
For i = 0 To Grid.Columns.Count - 1
xlSheet.Cells(fila, i + 1).Value = Grid.Columns(i).Caption
Next i
If Not (rs.EOF And rs.BOF) Then 'checar recordset vacio
'Imprimir el resto del reporte
fila = fila + 1
rs.MoveFirst
While Not rs.EOF
For i = 0 To Grid.Columns.Count - 1
xlSheet.Cells(fila, i + 1).Value = rs.Fields(Grid.Columns(i).DataField).Value
Select Case Grid.Columns(i).NumberFormat
Case "Currency"
xlSheet.Cells(fila, i + 1).NumberFormat = EXCEL_MONEDA
Case ""
xlSheet.Cells(fila, i + 1).NumberFormat = EXCEL_STRING
Case "General Number"
xlSheet.Cells(fila, i + 1).Value = Format(xlSheet.Cells(fila, i + 1).Value, "##,##0.00")
xlSheet.Cells(fila, i + 1).NumberFormat = EXCEL_DECIMAL2
End Select
Next i
rs.MoveNext
fila = fila + 1
Wend
End If
xlbook.Save
'xlbook.Close
xlApp.Visible = True
'xlApp.Quit
Set xlApp = Nothing
Set xlbook = Nothing
Set xlSheet = Nothing
Screen.MousePointer = vbNormal
GoTo Fin
ExportaExcel_Error:
xlApp.Quit
Set xlApp = Nothing
Set xlbook = Nothing
Set xlSheet = Nothing
Fin:
End Sub