Si tienes en una columna del datagrid un radiobutton, selecciona el evento OnCheckedChanged:
<asp:RadioButton id="RadioButton1"
OnCheckedChanged="SSeleccionar" AutoPostBack="True" runat="server"></asp:RadioButton>
En el codigo de atras:
Public Sub SSeleccionar(ByVal sender As System.Object, ByVal e As System.EventArgs) 'cambio en el radioButton rb1
Dim rb1 As RadioButton = New RadioButton
rb1 = CType(sender, RadioButton)
'desmarcar el resto de los radiobutton
Dim MiItem As DataGridItem
For Each MiItem In DataGrid1.Items
Dim rb2 As RadioButton = CType(MiItem.FindControl("RadioButton1"), RadioButton)
If (rb1.Equals(rb2)) = False Then
rb2.Checked = False
End If
Next
End sub