What i think you need a download link insted of save dialog box..Because Server never save any thing to client machine directly.
I can be in Window form not in Asp.net...
If you want to save a file on server there is a control named file up-loader..
if i am not wrong..
OR please give full brief of your requirement..
now i am explaining my situation .once i submit the button i need to write all the records from gridview to text file .After this textfile need to save depends on user selected path can u tell how can i do ..