In asp.net, databinding as in winforms doesn't exist, as there's no actual active page object. (as soon as the page is rendered, everything is cleaned up). So what's done mostly (my understanding, I'm not very familiar with the webgrid and making it edit data) is to keep the objects you use to fill the grid (or bind to the grid) alive in the session and update the entity on the position with the value specified in the grid on the page.
Some 3rd party grids do this for you by keeping the data in teh viewstate.