É isso que eu tenho. Funciona. Mas, existe uma maneira mais simples ou melhor?

Uma página ASPX, eu tenho o link para download ...

<asp:HyperLink ID="HyperLinkDownload" runat="server" NavigateUrl="~/Download.aspx">Download as CSV file</asp:HyperLink>

E então eu tenho o código Download.aspx.vb atrás ...

Public Partial Class Download
    Inherits System.Web.UI.Page

    Protected Sub Page_Load(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Load
        'set header
        Response.Clear()
        Response.ContentType = "text/csv"
        Dim FileName As String = "books.csv"
        Response.AppendHeader("Content-Disposition", "attachment;filename=" + FileName)

        'generate file content
        Dim db As New bookDevelopmentDataContext
        Dim Allbooks = From b In db.books _
                       Order By b.Added _
                       Select b
        Dim CsvFile As New StringBuilder
        CsvFile.AppendLine(CsvHeader())
        For Each b As Book In Allbooks
            CsvFile.AppendLine(bookString(b))
        Next

        'write the file
        Response.Write(CsvFile.ToString)
        Response.End()
    End Sub

    Function CsvHeader() As String
        Dim CsvLine As New StringBuilder
        CsvLine.Append("Published,")
        CsvLine.Append("Title,")
        CsvLine.Append("Author,")
        CsvLine.Append("Price")
        Return CsvLine.ToString
    End Function

    Function bookString(ByVal b As Book) As String
        Dim CsvLine As New StringBuilder
        CsvLine.Append(b.Published.ToShortDateString + ",")
        CsvLine.Append(b.Title.Replace(",", "") + ",")
        CsvLine.Append(b.Author.Replace(",", "") + ",")
        CsvLine.Append(Format(b.Price, "c").Replace(",", ""))
        Return CsvLine.ToString
    End Function

End Class