Check out this 3 minute video with Erica on how to create and initialize an ASPxGridView at runtime:
You can also download and run a sample version of this demo from code central: How To Create A Grid Control Programmatically
About Mehul Harry (DevExpress)
Mehul Harry is an ASP.NET technical evangelist at Developer Express. You can reach him directly at mharry@DevExpress.com. You can also follow him on Twitter: http://twitter.com/mehulharry