If you mean something along the lines of:
UPDATE db SET col1 = 'someVal'
I would add a row of TextBoxes above or below the DataGrid and when the user hits enter or clicks a button read all of the TextBox values, validate them, and then write a dynamic SQL query to manually update the data. After that reload the DataGrid to show the changes.
This way you can do any kind of validation, and you are in complete control of what can and can not be updated.