private bool dirtyFlag = false;

            public bool DirtyFlag            
           {
                get
                {
                    return dirtyFlag;
                }
                set
                {
                    dirtyFlag = value;
                }
            }

I think, I have understood your requirement. Well, you can try the following.

1. On you form, have a property: bool dirtyFlag. By default it's value is false.
2. When the gird load's, set dirtyFlag = false;
3. With every modifications done in the datagrid values, set dirtyFlag = true; in the appropriate events of datagrid.
4. When ever the user saves the changes made to datagrid, set dirtyFlag = false;
5. Now, add the condition - if(dirtyFlag == true) during Form closing. This condition checks if the datagrid modifications have been saved or not.

if(dirtyFlag == true)
{
...Changes haveNOT been saved...
}
else
{
...Changes have been saved...
}

do u means need declare our own variable "dirtyFlag"?
or do u means form's property called "dirtyFlag"? i cant found it under the Form's property..

and for the steps 3, how we can check for changing in gridview's value?
do any methods or events provided that can use directly to detect changes in gridview?

thanks

            private bool dirtyFlag = false;

            public bool DirtyFlag            
           {
                get
                {
                    return dirtyFlag;
                }
                set
                {
                    dirtyFlag = value;
                }
            }