codice:
...
Sub MyCommand(sender As Object, e As DataGridCommandEventArgs)
  Select Case (CType(e.CommandSource, LinkButton)).CommandName
     Case "Pippo"
     'qui metti il tuo codice
  End Select
End Sub
...


...
<ASP:DataGrid ID="MyDataGrid" 
...
OnItemCommand="MyCommand"
.../>

...
<asp:ButtonColumn 
...
CommandName="Pippo"
.../>
...