SElect the grid in design View and right click on it and click properties,
In property window select fire symbol and.. double click on row deleting..Enough..
Or property window..
select ur grid..
its like
GridVIew1 System.Web.UI...........
select fire row deleting
<asp:GridView ID="GridView2" runat="server" AutoGenerateColumns="False" BackColor="White" BorderColor="#CCCCCC" BorderStyle="None" BorderWidth="1px" CellPadding="3" DataSourceID="SqlDataSourceMember" Height="270px" Style="font-size: small" Width="699px" AllowPaging="True" AllowSorting="True" EnableSortingAndPagingCallbacks="True" OnPageIndexChanging="GridView1_PageIndexChanging"
onrowdeleting="GridView1_RowDeleting">
protected void GridView1_RowDeleting(object sender, GridViewDeleteEventArgs e)
{
}