问题解决了，先将改进代码贴出。（实现将DataGrid中数据倒出Excel文件并下载）

Imports System
Imports System.Text
Namespace to
'功能：将中DataGrid生成Excel文件下载。
'Mountains改进：1、支持中文 2、隐藏列不显示
'日期：2002.10.30
Public Class DataGridToCSV
Public Function GenerateFile(ByRef Page As System.Web.UI.Page, ByVal MyDataGrid As System.Web.UI.WebControls.DataGrid, ByVal FileName As String) As String
Dim resp As HttpResponse
Dim colCount As Integer = MyDataGrid.Columns.Count - 1
resp = Page.Response
resp.ContentEncoding = System.Text.Encoding.GetEncoding("GB2312") '解决中文乱码之关键
'resp.Charset = "utf-8"
'resp.AddFileDependency(FileName)
'resp.ContentType = "Text/HTML"
''resp.AppendHeader("Content-Type", "text/html; charset=gb2312")
resp.AppendHeader("Content-Disposition", "attachment;filename=" + FileName) '必要，做成下载文件

Dim colHeaders As String = ""