Depends how many attributes are on your datagrid, but if there are a lot, 18,000 records will take some time. Also, your internet connection speed could be part of the slowdown. Some things to try that may help:
- Download fewer records and/or fewer attributes
- Try the Data Grid Search Filters widget in the Marketplace
- Export as CSV
- Provide access to your data via a published REST service so the data can be opened in Excel directly without downloading
- Create the file with Excel Exporter and then Zip it before downloading
Hope those give you some ideas to get started.