It is the default behavior of WebGrid export feature that the ReportPath is assigned to “~/TempReports” which means the “TempReports” folder should be created under the root of the web application. The folder also needs to have enough permission to allow the asp-net worker process to write the generated output files into the folder. You can always change the ReportPath property and other report-spesific property in the ReportInfo object provided by the event argument in OnExport event.

One of the alternatives for your case is by setting the ReportPath folder to a location outside root of the web application. Please check this thread, in order to set ReportPath folder to a specific location outside root of web application.