Maybe something like this
Iterate thru rows and cols of datagrid and write it to a file
Dim oFile As System.IO.File
Dim oRite As System.IO.StreamWriter
Dim iRow As Integer
Dim iCol As Integer
oRite = oFile.CreateText("C:\myexport.csv")
For iRow = 0 To DataGrid1.VisibleRowCount - 1
For iCol = 0 To DataGrid1.VisibleColumnCount - 1
'MsgBox(DataGrid1.Item(iRow, iCol))
If iCol > 0 Then oRite.Write(",")
oRite.Write(DataGrid1.Item(iRow, iCol))
Next
oRite.WriteLine()
Next
oRite.Close()