Response.ContentType = "application/vnd.ms-excel";
The ContentType property specifies the HTTP content type for the response. If no ContentType is specified, the default is text/HTML. 
Get all your data in a DataGrid and then get it from it can be done with:
DataGrid.RenderControl
Outputs server control content to a provided HtmlTextWriter object and stores tracing information about the control if tracing is enabled.
        SqlConnection cn = new SqlConnection("yourconnectionstring");
        cn.Open();
        SqlDataAdapter da = new SqlDataAdapter("SELECT * FROM Users", cn);
        DataTable dt = new DataTable();
        da.Fill(dt);
        DataGrid dg = new DataGrid();
        dg.DataSource = dt;
        dg.DataBind();
        System.IO.StringWriter tw = new System.IO.StringWriter();
        System.Web.UI.HtmlTextWriter hw = new System.Web.UI.HtmlTextWriter(tw);
        dg.RenderControl(hw);
        cn.Close();
        Response.Clear();
        Response.ContentType = "application/vnd.ms-excel";
        this.EnableViewState = false;
        Response.Write(tw.ToString());
        Response.End();