I searched the forum and the DEMO dir of phpgrid and ended up with this piece of code:

$e["on_export"] = array("custom_export", null, false);
$grid->set_events($e);

function custom_export($param)
{
$sql = $param["sql"]; // the SQL statement for export
$grid = $param["grid"]; // the complete grid object reference

if ($grid->options["export"]["format"] == "csv")
{

$server = 'my server';
$connectionInfo = array( "Database"=>"my_db", "UID"=>"my_user", "PWD"=>"my_pwd");

$conn = sqlsrv_connect($server, $connectionInfo);

$fields = array();
foreach ($grid->options["colModel"] as $c)
{
// remove not-to-export columns
if ($c["export"] === false) continue;

$header[$c["name"]] = $c["title"];
$fields[] = $c["name"];
}

$sql = "SELECT ".implode(", ",$fields)." FROM ".$grid->table;
$result = sqlsrv_query($conn, $sql);

if (strstr($grid->options["export"]["filename"],".csv") === false)
$grid->options["export"]["filename"] .= ".csv";

header( 'Content-Type: text/csv' );
header( 'Content-Disposition: attachment;filename='.$grid->options["export"]["filename"]);

$fp = fopen('php://output', 'w');

// push rows header
fputcsv($fp, $header);

// push rows
while ($row = sqlsrv_fetch_array($result))
fputcsv($fp, $row);

die;

}
}

but if I insert the code instead of the csv file I get a "cannot find the page" error.

On top of that, should I decide to change the records extracted would be correct to change this line
$sql = "SELECT ".implode(", ",$fields)." FROM ".$grid->table;
in this way?
$sql = "SELECT ".implode(", ",$fields).", test.testfield FROM ".$grid->table "left outer join test on ".$grid->table ".primarykey =test.primarykey ";

Thanks