Hi shani1,

I have created a sample that full-fill your requirement by refering the below article.

Export DataTable to Excel using OpenXml in Windows Forms (WinForms) Applications using C# and VB.Net

C#

private void btnExport_Click(object sender, EventArgs e)
{
    DataSet ds = new DataSet();
    string constr = ConfigurationManager.ConnectionStrings["conString"].ConnectionString;
    string query = "SELECT TOP 10 CustomerId,ContactName,City,Country FROM Customers GO SELECT TOP 5 EmployeeID,(FirstName + ' ' + LastName) EmployeeName,City,Country FROM Employees";
    using (SqlConnection con = new SqlConnection(constr))
    {
        using (SqlCommand cmd = new SqlCommand(query))
        {
            using (SqlDataAdapter sda = new SqlDataAdapter())
            {
                cmd.Connection = con;
                sda.SelectCommand = cmd;
                sda.Fill(ds);
                ds.Tables[0].TableName = "Customers";
                ds.Tables[1].TableName = "Employees";
            }
        }
    }

    XLWorkbook wb = new XLWorkbook();
    for (int i = 0; i < ds.Tables.Count; i++)
    {
        wb.Worksheets.Add(ds.Tables[i], ds.Tables[i].TableName);
    }
    string filePath = "";
    if (folderBrowserDialog1.ShowDialog() == System.Windows.Forms.DialogResult.OK)
    {
        filePath = folderBrowserDialog1.SelectedPath;
    }
    wb.SaveAs(filePath + "\\DataGridViewExport.xlsx");
}

Screenshot