Magento: Admin grid add new button

File Location: \app\code\codePool\namespace\module\Block\Adminhtml\module.php

$this->_addButton('exporter', array(
        'label' => Mage::helper('exporter')->__('Export Custom Order'),
        'onclick' => "setLocation('" . $this->getUrl('*/*/selected', array('page_key' => 'collection')) . "')",
        'class' => 'add'

Full code

public function __construct()
    {
        $this->_controller = 'adminhtml_exporter';
        $this->_blockGroup = 'exporter';
        $this->_headerText = Mage::helper('exporter')->__('Order Export');
        $this->_addButtonLabel = Mage::helper('exporter')->__('Export All Orders');
        $this->_addButton('exporter', array(
        'label' => Mage::helper('exporter')->__('Export Custom Order'),
        'onclick' => "setLocation('" . $this->getUrl('*/*/selected', array('page_key' => 'collection')) . "')",
        'class' => 'add'
    ));
        parent::__construct();
    }

Now in your controller file: \app\code\codePool\namespace\module\controllers\Adminhtml\moduleController.php

public function selectedAction()
    {
        $this->_forward('exportselectedCsv');
    }

public function exportselectedCsvAction(){
        echo "Hii reached";
     }