you can add checkbox using template field
Set AutoGenerateColumns attribute to false.
Add Column tag to asp:DataGrid tag.
Now add itemtemplate inside columns
<asp:DataGrid ID="DefaultGrid" Runat="server" AutoGenerateColumns="False">
<Columns>
<asp:TemplateField>
<HeaderTemplate>
<input id="chkAll" type="checkbox" />
</HeaderTemplate>
<ItemTemplate>
<asp:CheckBox ID="chkSelect" runat="server" />
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:DataGrid>
and if you want to attach it to datatable column then u have to add like this
<asp:DataGrid ID="DefaultGrid" Runat="server" AutoGenerateColumns="False">
<Columns>
<asp:TemplateField>
<ItemTemplate>
<asp:CheckBox ID="chkSelect" runat="server" AutoPostBack="true" OnCheckedChanged="chkStatus_OnChackedChanged" Checked='<%# Convert.ToBoolean(Eval("Approved")) %>' />
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:DataGrid>