The command that you specify for tat control is fired.
On your page,
1) right click the datagrid
2) edit template
3) select the drop down list
4) note the ID (or change it to something more memorable)
5) right click your datarid
6) end template editing
in your html code behind page
1) find your datagrid declaration (<asp:DataGrid....)
2) add the OnSelectedIndexChanged="mySub"
3) in your code behind add your command - Protected Sub mysub (ByVal sender As Object, ByVal e As EventArgs)
It must be Protected, otherwise it won't work