How can I turn a DataTable to a CSV?

The following shorter version opens fine in Excel, maybe your issue was the trailing comma

.net = 3.5

StringBuilder sb = new StringBuilder(); 

string[] columnNames = dt.Columns.Cast<DataColumn>().
                                  Select(column => column.ColumnName).
                                  ToArray();
sb.AppendLine(string.Join(",", columnNames));

foreach (DataRow row in dt.Rows)
{
    string[] fields = row.ItemArray.Select(field => field.ToString()).
                                    ToArray();
    sb.AppendLine(string.Join(",", fields));
}

File.WriteAllText("test.csv", sb.ToString());

.net >= 4.0

And as Tim pointed out, if you are on .net>=4, you can make it even shorter:

StringBuilder sb = new StringBuilder(); 

IEnumerable<string> columnNames = dt.Columns.Cast<DataColumn>().
                                  Select(column => column.ColumnName);
sb.AppendLine(string.Join(",", columnNames));

foreach (DataRow row in dt.Rows)
{
    IEnumerable<string> fields = row.ItemArray.Select(field => field.ToString());
    sb.AppendLine(string.Join(",", fields));
}

File.WriteAllText("test.csv", sb.ToString());

As suggested by Christian, if you want to handle special characters escaping in fields, replace the loop block by:

foreach (DataRow row in dt.Rows)
{
    IEnumerable<string> fields = row.ItemArray.Select(field => 
      string.Concat("\"", field.ToString().Replace("\"", "\"\""), "\""));
    sb.AppendLine(string.Join(",", fields));
}

And last suggestion, you could write the csv content line by line instead of as a whole document, to avoid having a big document in memory.