When you use the default ToString implementation on a DateTime value, it is formatted according to the current system settings. So since your PC is set to MM/dd/yyyy, that is the format of the date as a string that is generated. To avoid that, use a format strign with the ToString:
dataGridView1.Rows[i].Cells[n].Value.ToString("dd/MM/yyyy")
You might also want to consider using a StringBuilder and File.WriteAllText instead of a stream and string concatenation - it'll probably be a lot quicker and more efficient.