This is built off the same idea that Serge Lobko-Lobanovsky had in his article on here at http://www.codeproject.com/aspnet/GridGroupFormat.asp.
had trouble with the code he had posted and had to get it done for a project. Just call the method
DataGridGroupBy(DataGrid dgYouWantGrouped, int ColumnToGroup) of the
DataGridGroupByRows class in your WebForm and it will group all rows you want grouped together.
Here is the code for a class i wrote in the sample project attached: