See Below Code (Its not a whole code,but gives u idea),
u need to add content-type,header
DataGrid dg = new DataGrid();
dg.Dispose();
dg.DataSource =dt; dg.DataBind();
dg.HeaderStyle.Font.Bold = true;
StringWriter sw = new StringWriter();
HtmlTextWriter hw = new HtmlTextWriter(sw);
dg.RenderControl(hw);
Response.Write(sw.ToString());