In your Gridview RowdataBound event, after you have added the items dynamically, find the selected value for that dropdown and set the selectedindex to that value.
[EDIT: Provided order of things to be executed]
In Gridview RowdataBound event pseudo code:
selectedvalue = getSelectedValue(Primary key)
do while eof
add the item to dropdown
if item.value = selectedvalue then
item.selected=true end if