>For example, I have 3 records in the grid. I want to be able to delete the 3rd record only, but the first time when I mark on the deletemark(the left-hand side of the grid) It sets focus to the 1st record on the grid.

I never liked the Delete Column, so I usually hide it. To delete a record, I have a toolbar button with the word "Delete" on it, which is usually a better interface than the mysterious black box :-)

With the button you most likely won't have the problem you're having.