I splitted my values from the SerialPort and have something like array....array, and this is what I need to write as a CSV.
This no longer has anything to do with Arduino. Grab a C# book, and look up how to create a file (which returns an input stream and/or output stream). Look up how to use that stream to write data to the file. The fact that the file needs to have an extension of .csv, and that the values written to the file need to be separated by commas is completely extraneous to the task of writing data to a file.