Antonio,
Not sure about Mere Mortal's grid or even if this is what your having a problem with, but in a standard data grid you have to put a little code in the event handler for page index changed when a page-navigation link is clicked in order for it to work. Below is a vb example.
Hope it helps
Private Sub grdReport_PageIndexChanged(ByVal source As Object, ByVal e As System.Web.UI.WebControls.DataGridPageChangedEventArgs) Handles grdReport.PageIndexChanged
grdReport.CurrentPageIndex = e.NewPageIndex
grdReport.DataBind()
End Sub