use template field, for this not of inbuilt type check box column.
<asp:GridView ID="grdMain" runat="server" AutoGenerateColumns="False" OnRowDataBound="grdMain_RowDataBound" OnRowCommand="grdMain_RowCommand">
<Columns>
<asp:TemplateField HeaderStyle-Height="25px" ItemStyle-Height="25px">
<ItemTemplate>
<asp:CheckBox ID="chkSelect" runat="server" />
</ItemTemplate>
<HeaderStyle CssClass="GreenBorder" HorizontalAlign='left' />
</asp:TemplateField>
<asp:TemplateField>
<HeaderTemplate>
Serial No.
</HeaderTemplate>
<ItemTemplate>
<asp:Label ID="lblSerialNo" runat="server" Text='<%#Eval("Serial_No")%>'></asp:Label>
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:GridView>
use like this , Hope this will help you.
Don't froget to mark as answer if it helps. :)