Check out the first result:
http://lmgtfy.com/?q=asp.net+checkbox+gridview
Also, your problem is probably that you are autogenerating columns. Set it to false then create your columns manually. Look here for more information:
http://msdn.microsoft.com/en-us/library/system.web.ui.webcontrols.gridview.autogeneratecolumns.aspx
Also, check out:
http://www.codeproject.com/KB/webforms/CheckBoxCommand.aspx