I'm not quite sure if this is what you are after but:

internal void Grid_ViewCommand(Object sender, DataGridCommandEventArgs e)
   {
       TableCell itemCell = e.Item.Cells[1];
       string item = itemCell.Text;
 }

With a Grid, I typically put a button as the first column - called "View".
Clicking this button fires this event where I can retrieve the second cell
of the row (the first cell contains the button) that was selected and then
extract the text from. I suspect you need this same thing but on the
Index_Change event...

My Grid definition looks like this:
<asp:DataGrid ID="dataGrid1" runat="server" DataSourceID="XmlDataSource1"
Width="274px" AutoGenerateColumns="False" OnItemCommand="Grid_ViewCommand" >
       <HeaderStyle BackColor="#00AAAA">
        </HeaderStyle>
        <Columns>
        <asp:ButtonColumn
                      HeaderText="View"
                      ButtonType="PushButton"
                      Text="View"
                      CommandName="ViewItem" />

                 <asp:BoundColumn
                      HeaderText="Category Name"
                      DataField="name"/>
</Columns>
       </asp:DataGrid>

-brian