If you're asking "How can I do this using just ASP.NET 1.1?" the answer is simple: you can't. Nothing remotely like that is built into ASP.NET 1.1, except perhaps in third-party controls (but good luck finding the 1.1 versions at this point.)
On the bright side, however, you won't have to deal with Microsoft Ajax features in 1.1, which means that the page model is more straightforward.
If your jQuery solution is working for you, there's not a strong case to be made for going farther. But if you want something more of a black box, that's reusable and automatically injects the jQuery code, you could subclass the DataGrid and write code to emit javascript code blocks containing your jQuery code.