Attached is a sample containing a form that has 3 tabs & 3 grids. I placed the export code in the button click event, but I'll put the code below as well.

Infragistics.Documents.Excel.Workbook workbook = new Infragistics.Documents.Excel.Workbook();
Infragistics.Documents.Excel.Worksheet worksheet1 = workbook.Worksheets.Add("Grid 1");
Infragistics.Documents.Excel.Worksheet worksheet2 = workbook.Worksheets.Add("Grid 2");
Infragistics.Documents.Excel.Worksheet worksheet3 = workbook.Worksheets.Add("Grid 3");

ultraGridExcelExporter1.Export(grid1, worksheet1);
ultraGridExcelExporter1.Export(grid2, worksheet2);
ultraGridExcelExporter1.Export(grid3, worksheet3);

try
{
    workbook.Save("output.xls");
    System.Diagnostics.Process.Start("output.xls");
}
catch
{
    MessageBox.Show("Please close any open instances of Excel.",
                    "Error Opening Workbook",
                    MessageBoxButtons.OK, MessageBoxIcon.Stop);
}