Question

Does any one know how to provide file name to the exported file in Telerik RadGrid,
Exported file could be of any format pdf, excel or word

Answer 1

Source: Grid / MS Excel/MS Word/CSV

Use RadGrid.ExportSettings.FileName property, a string specifying the
name (without the extension) of the file that will be created. The
file extension is automatically added based on the method that is used
Try setting the FileName in the ItemCommand event as shown below.

From: When to set RadGrid.ExportSettings.FileName

protected void Radgrid1_ItemCommand(object sender, GridCommandEventArgs e)
{
    if (e.CommandName == RadGrid.ExportToPdfCommandName)
    {
        Radgrid1.ExportSettings.FileName = "yourfilename";
    }
    if (e.CommandName == RadGrid.ExportToExcelCommandName)
    {
        Radgrid1.ExportSettings.FileName = "yourfilename";
    }
    if (e.CommandName == RadGrid.ExportToWordCommandName)
    {
        Radgrid1.ExportSettings.FileName = "yourfilename";
    }
}

Reference:
Export RadGrid content to Excel/Word/CSV/PDF with Ajax enabled