untuk menjalankannya anda harus menambahkan reference pada property project anda Microsoft.Office.Interop.Excel dan pastikan sudah terinstal microsoft Officenya.
berikut sourcenya :
    Private Sub Button2_Click_1(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button2.Click
        Dim rowsTotal, colsTotal As Short
        Dim I, j, iC As Short
        System.Windows.Forms.Cursor.Current = System.Windows.Forms.Cursors.WaitCursor
        Dim xlApp As New Excel.Application
        Try
            Dim excelBook As Excel.Workbook = xlApp.Workbooks.Add
            Dim excelWorksheet As Excel.Worksheet = CType(excelBook.Worksheets(1), Excel.Worksheet)
            xlApp.Visible = True
            rowsTotal = DataGridView1.RowCount - 1
            colsTotal = DataGridView1.Columns.Count - 1
            With excelWorksheet
                .Cells.Select()
                .Cells.Delete()
                For iC = 0 To colsTotal
                    .Cells(1, iC + 1).Value = DataGridView1.Columns(iC).HeaderText
                Next
                For I = 0 To rowsTotal - 1
                    For j = 0 To colsTotal - 1
                        .Cells(I + 2, j + 1).value = DataGridView1.Rows(I).Cells(j).Value
                    Next j
                Next I
                .Rows("1:1").Font.FontStyle = "Bold"
                .Rows("1:1").Font.Size = 10
                .Cells.Columns.AutoFit()
                .Cells.Select()
                .Cells.EntireColumn.AutoFit()
                .Cells(1, 1).Select()
            End With
        Catch ex As Exception
            MsgBox("Export Excel Error " & ex.Message)
        Finally
            'RELEASE ALLOACTED RESOURCES
            System.Windows.Forms.Cursor.Current = System.Windows.Forms.Cursors.Default
            xlApp = Nothing
        End Try
    End Sub