The SelectedIndexChanged event is triggered when the a row of the GridView is selected.
Now first of all you'll have to configure the GridView to allow for Selection of rows.
The simples way to do this is to auto generate the select column by adding the attribute as follows
<asp:gridview id="CustomersGridView"
autogenerateselectbutton="True">
The second way is to use a customized LinkButton, Button, ImageButton.
I could only guess that's what you're trying to do. Since you didn't provide any code i can not tell for sure!
If you're trying to do it this way you'll have to consider that in this case the SelectedRowEvent isn't raised. What is happening is after the Button was clicked a RowCommand is raised which can be used to set the specific row into SelectionMode thereby raising the SelectedRowEvent.
Improve your question if you're really interested in additional help.
See also this post with a similar question:
Row Command in gridview.[
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