It is not clear from your explanation that which control you are using for selection. but lets assume if you have a checkbox control then you can insert "onClientClick" attribute in design of the gridview and could write something like below:
OnClientClick = "javascript:return false;"
this additional attribute will prevent a page from refreshing itself. as we know the server controls by default create a postback to the page, the client side script will prevent it from doing so.
I hope this helps...