Check out this It'll Work
Dim ExcelApp As Object, ExcelBook As Object
Dim ExcelSheet As Object
Dim i As Integer
Dim j As Integer
ExcelApp = CreateObject("Excel.Application")
ExcelBook = ExcelApp.WorkBooks.Add
ExcelSheet = ExcelBook.WorkSheets(1)
With ExcelSheet
For i = 1 To Me.DataGridView1.ColumnCount
.Cells(1, i) = DataGridView1.Columns(i - 1).HeaderText
Next
For i = 1 To Me.DataGridView1.RowCount
For j = 0 To DataGridView1.Columns.Count - 1
.cells(i + 1, j + 1) = DataGridView1.Rows(i - 1).Cells(j).Value
Next
Next
End With
ExcelApp.Visible = True
ExcelSheet = Nothing
ExcelBook = Nothing
ExcelApp = Nothing