I want to dynamically create a grid on an asp.net page. I want to add and delete rows from the grid. I want all the features of a datagrid like sorting and paging. My rows will be added/removed dynamically by a user. I don't need to use a datasource to bind to the grid. Just simply add or remove a row. Does anyone have any sample code on how to do this.

On every action on DataGrid (like sort, paging, delete, ...) you must call Databind function to fill rows on DataGrid. On datagrid you MUST use some datasource.
What does it mens "synamically create" ?
If you want dinamically create columns set AutoGenerate property on DataGrid to true.
You can use DataTable created on page like DataSource and when you store it in Session you can use all DataGrid ability. (In this case you can modify Table-add rows, delete rows in session)