Here are a couple of ideas:

1. Check your code behind and make sure you aren't rebinding every time.
This is a very common error.
2. How are you binding the paging event? This could be an issue, especially
if you are binding before the viewstate is loaded, which will overwrite your
new bind.

This assumes you are just dynamically binding the exsiting ASP.NET DataGrid
(or GridView). If you are building your own as a derived class, you may have
overwritten something important.

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