use this sample code
<asp:GridView ID="grddata" runat="server" AutoGenerateColumns="false">
<Columns>
<asp:TemplateField ItemStyle-Width="20px" HeaderStyle-Width="20px">
<HeaderTemplate>
<div style="width: 100%; text-align: left; padding-left: 3px;">
<asp:CheckBox ID="cbSelectAll" runat="server" onchange="javascript:cbSelectAll(this);" />
</div>
</HeaderTemplate>
<ItemTemplate>
<div style="width: 100%; text-align: left; padding-left: 1px;">
<asp:CheckBox ID="cbSelectOne" runat="server" />
</div>
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:GridView>
<script type="text/javascript" language="javascript">
//use Jquery
function cbSelectAll(e)
{
$("#<%=grddata.ClientID%> tr:gt(0) input:[id*='cbSelectOne']").attr('checked',$(e).find("input:[id*='cbSelectAll']").is(":checked"))
}
</script>