DataGrid to Excel... not ASP

Hi :) I am writing a Windows application and I retrieve data from a database in a datagrid. Now I need to export the data and save it in a Excel spreadsheet with column names. I would like to use the SaveFileDialog so the user can specify where he/she wants to save it. I have been searching for some time, but I can only find ASP related articles. I'm still fairly new to C#... So please help.