Hey There. If you are using table adapter or datasets in updating your datagrid view you should just add an update query in your datatable like:
Update YourTableName set YourYesNoColumn=@YourYesNoColumn
The YourYesNoColumn should be an integer which accepts a Value of 0 and 1. Once the Checkbox state in the Datagridview is Checked then it automatically save as 1 and if it is unchecked it will be 0. You don't need to put anything in your code.