Here is a link to an great How To: on Custom Data Grid Paging

HOW TO: Page Through a Query Result for Better Performance
http://support.microsoft.com/default.aspx?scid=kb;en-us;318131

Paging Through a Query Result
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpguide/html/cpconpagingthroughqueryresult.asp