If you are working with Sql Server database then provider 
specific class named sqlcommandbuilder is available with 
your sql server provider.This command will call the update 
method of datadapter object ,which will update the contents 
of your dataset and the same will be displayed in your 
datagrid ,which inturn will reflect the changes in database.

If you know sql, use UPDATE query..:-)

if dont

then 

UPDATE [TableName] SET Field1 = @param1, Field2 = @param2, 
Field3 = @param3 WHERE [ID] = @paramID

it is very simple..write insert delete update querey in
datagrid events