you must be doing something wrong, try<%@ Page Language="C#" %>
<%@ import Namespace="System.Data" %>
<%@ import Namespace="System.Data.SqlClient" %>
<script runat="server">    void Page_Load(object o, EventArgs e)
    {
      if (!IsPostBack)
      {
       SqlDataAdapter da = new SqlDataAdapter("select * from authors",
                         "server=localhost;database=pubs;uid=sa;pwd=;");       DataSet ds = new DataSet();
       da.Fill(ds);       DataGrid dg = (DataGrid)Page.FindControl("DataGrid1");
       dg.DataSource = ds.Tables[0].DefaultView;
       dg.DataBind();       }
    }   
private void btnDel_Click(object sender, System.EventArgs e)
{
for (int i=0; i < DataGrid1.Items.Count; i++)
{
    CheckBox Remove = (CheckBox)DataGrid1.Items[i].FindControl("Remove");
    Label DelID = (Label) DataGrid1.Items[i].FindControl("DelID");
    if (Remove.Checked == true)
{
       Response.Write(DelID.Text + " is checked<BR>");
} }
}
</script>
<html>
<head>
</head>
<body>
    <form id="form1" runat="server">
        <asp:DataGrid id="DataGrid1" runat="server">
            <Columns>
                <asp:TemplateColumn HeaderText="CheckBox">
                    <ItemTemplate>
                        <asp:CheckBox id="Remove" runat="server" />
                    </ItemTemplate>
                </asp:TemplateColumn>
                <asp:TemplateColumn HeaderText="CheckBox">
                    <ItemTemplate>
                        <asp:Label id="DelID" runat="server" text='<%# DataBinder.Eval(Container.DataItem,"au_id")%>' />
                    </ItemTemplate>
                </asp:TemplateColumn>
            </Columns>
        </asp:DataGrid>
        <asp:Button id="btnDel" runat="server" Text="Delete" Onclick="btnDel_Click"></asp:Button>
    </form>
</body>
</html>