TnTinMN 418 Practically a Master Poster
 xlWorkBook = xlApp.Workbooks.Add
' first worksheet
If xlApp.Application.Sheets.Count() < 1 Then
cmd.CommandText = "Select * From students"
cmd.Connection = connection
da.SelectCommand = cmd
da.Fill(dt)
dgrid.DataSource = dt
location = SaveFileDialog1.FileName
xlWorkSheet = CType(xlWorkBook.Worksheets.Add(), Excel.Worksheet)
xlWorkSheet = xlWorkBook.Sheets("Students")

I believe this statement is your problem: xlWorkSheet = xlWorkBook.Sheets("Students")
Unless your Normal template has a Students worksheet in it, xlWorkSheet will be unassigned (Nothing).