GridView gdv = new GridView();
gdv.ID = "MyID";
gdv.SelectedIndexChanged += new EventHandler(gdv_SelectedIndexChanged);
gdv.RowDataBound += gdv_RowDataBound; 
panel.Controls.Add(gdv);

protected void gdv_RowDataBound(object sender, GridViewRowEventArgs e)
{
   if (e.Row.RowType == DataControlRowType.DataRow)
   {             
      e.Row.Attributes["onclick"] = ClientScript.GetPostBackClientHyperlink(((GridView)sender), "Select$" + e.Row.RowIndex);
   }
}