Do you need this GridView to display a SharePoint list? If so, you can
create a new view (or modify the All Items view). While editing the view,
just expand the "Group By" and define your groups. Once completed, you
can display this view in a web part.

You can also use SharePoint Designer to do this. The following URL may
show an example to provide this:
blah.winsmarts.com/...etween_SharePoint_lists.aspx

I need a gridview in a custom webpart to display data  from a database
outside SharePoint.

Currently I am trying to use the RadGrid from Telerik. The challenge
using this control  is the deployment part, to deploy all the resources
needed by RadGrid to my SharePoint farm, in addition to learning how
to use the grid.

If that's the case, I would use a SPGridView (which is inherited from the
ASP.NET 2.0 GridView). I've never tried it, but I think you can do
grouping in a GridView (See
www.agrinei.com/.../..._en.htm).

If you use a SPGridView, take out all CSS styleing - MOSS will style it
for you. Other than that treat it like an ASP.NET GridView in your code.

As a best practice, I would recommend placing the Grid in an .ascx control
and then wrap the .ascx control  in the custom web part. Using the .ascx
control allows a lot of flexibility in designing your GUI.

Use the DataForm (DataView) web part in SharePoint Designer. It
supports the Multi group  view.

I forgot to mention I need to use the control  in a custom webpart. I
can't use the DataForm webpart in a custom webpart, can I?