Answer is already in your error message...I think your going to assign webControls GridView to windows form DataGridView. Those are very different objects and this kind conversion is cannot be done...
Why don't you try assign Data Source
If there is a way to load data to your Windows form DataGridView.You can assign it like below
Web.UI.WebControls.GridView gV = new Web.UI.WebControls.GridView();
you can assign your System.Windows.Forms.DataGridView
data source to this data table object