I have found some great ASP.NET Data grid articles. Please go through it.
1) Drill down Data grid Searching with ASP.NET:
This articles provide all the information to develop basic search in asp.net datagrid.
here is the link:http://www.sitepoint.com/article/datagrid-searching-asp-net
2) Highlighting Multiple Searching Keywords for ASP.NET Datagrid.
This article describes how to highlight searching keyword in asp.net datagrid with the help of