<p>How do you implement autocomplete on ASP.Net Gridview? Can anyone point me where to go to achieve this? I'm willing to use non-.Net ajax controls if that what it takes.</p>

The AJAX Control Toolkit provides an
autocomplete
but requires a web service to work.  You could always write your own asmx if there isn't one you can use.
Otherwise, there are all sorts of JS and jQuery examples:
http://www.javascript-examples.com/autocomplete-demo/