<script language="javascript" type="text/javascript">
    function select_deselectAll (chkVal, idVal)
{
    var frm = document.forms[0];
    // Loop through all elements
    for (i=0; i<frm.length; i++)
    {
        // Look for our Header Template's Checkbox
        if (idVal.indexOf ('CheckAll') != -1)
        {
            // Check if main checkbox is checked, then select or deselect datagrid checkboxes
            if(chkVal == true)
            {
                frm.elements[i].checked = true;
            }
            else
            {
                frm.elements[i].checked = false;
            }
            // Work here with the Item Template's multiple checkboxes
        }
        else if (idVal.indexOf ('DeleteThis') != -1)
        {
            // Check if any of the checkboxes are not checked, and then uncheck top select all checkbox
            if(frm.elements[i].checked == false)
            {
                frm.elements[1].checked = false; //Uncheck main select all checkbox
            }
        }
    }

}
function confirmDelete (frm)
{
    // loop through all elements
    for (i=0; i<frm.length; i++)
    {
        // Look for our checkboxes only
        if (frm.elements[i].name.indexOf("DeleteThis") !=-1)
        {
            // If any are checked then confirm alert, otherwise nothing happens
            if(frm.elements[i].checked)
            {
                return confirm ('Are you sure you want to delete your selection(s)?')
                }
        }
    }
}
    </script>
<asp:GridView ID="DgAddress" runat="server" PageSize="40" Width="278px" AutoGenerateColumns="False">
            <PagerStyle BackColor="#C000C0" />
            <AlternatingRowStyle BackColor="#C0C0FF" BorderColor="#C0C0FF" BorderStyle="Solid"
                ForeColor="#8080FF" />
            <EmptyDataTemplate>
                <asp:Button ID="BtnGrid" runat="server" Text="Delete"/>
            </EmptyDataTemplate>
            <Columns>
                <asp:BoundField HeaderText="ID" DataField="Id" Visible="false" />
                <asp:BoundField HeaderText="Employee Id" DataField="EmpId"/>
                <asp:BoundField HeaderText="Employee Name" DataField="EmpName"/>
                <asp:CommandField InsertText="Delete" ShowDeleteButton="True"/>
                <asp:TemplateField>
                <HeaderTemplate>
                <asp:CheckBox Id="CheckAll" onClick="javascript: return select_deselectAll (this.checked, this.id);" runat=server/>
                </HeaderTemplate>
                <ItemTemplate>
                <asp:HiddenField ID="chkid" runat="server" Value=<%#Container.DataItem("Id")%>/>
                <asp:CheckBox Id="DeleteThis" onClick="javascript: return select_deselectAll (this.checked, this.id);" runat=server/>
                </ItemTemplate>
                </asp:TemplateField>

            </Columns>
        </asp:GridView>
<asp:Button Text="Delete Items" ID="Confirm" runat="server" />

Protected Sub Confirm_Click(ByVal sender As Object, ByVal e As System.EventArgs) Handles Confirm.Click
        Dim dgIDs As String = ""
        Dim BxsChkd As Boolean
        Dim i As Integer
        Dim deleteChkBxItem As CheckBox
        Dim sqlconn As New SqlConnection("Initial Catalog=master;Data Source=tcs139054;user id=sa;password=kolkata@1")
        BxsChkd = False
        i = 2
        For Each gv As GridViewRow In DgAddress.Rows
            deleteChkBxItem = gv.FindControl("DeleteThis")
            If deleteChkBxItem.Checked = True Then
                BxsChkd = True
                dgIDs += CType(gv.FindControl("chkid"), HiddenField).Value.ToString + ","
            End If
            i += 1
        Next
        If BxsChkd Then
            Try
                Dim deleteSQL As String = "delete from employee where Id IN (" & dgIDs.Substring(0, dgIDs.LastIndexOf(",")) & ")"
                Dim cmd As SqlCommand = New SqlCommand(deleteSQL, sqlconn)
                sqlconn.Open()
                cmd.ExecuteNonQuery()
                FillGrid()
            Catch Err As SqlException
                Response.Write(Err.Message.ToString)
            Finally
                sqlconn.Close()
            End Try
        End If
    End Sub
 Private Sub FillGrid()
        Dim sqlconn As New SqlConnection("Initial Catalog=master;Data Source=tcs139054;user id=sa;password=kolkata@1")
        Dim sqlcmd As New SqlCommand
        Dim sqldr As SqlDataReader
        sqlconn.Open()
        sqlcmd.Connection = sqlconn
        sqlcmd.CommandType = Data.CommandType.Text
        sqlcmd.CommandText = "select id,empid,empname from employee"
        sqldr = sqlcmd.ExecuteReader
        DgAddress.DataSource = sqldr
        DgAddress.DataBind()
        sqldr.Close()
        sqlconn.Close()
    End Sub

Deepak Kumar Sharma
PGMS Inc(Noida)(India)
Cell No:-9719395072/9313107703

is it is your solution or you have some doubt so that i should read code.

thanks......