When printing a webform containing a datagrid longer than one printed page, the datagrid's gridlines may only print on Page 1. This problem occurs due to an IE bug which effects borderCollapsing on client-side tables. (The datagrid is rendered as a table during run-time)
There are 2 ways (which i know of) to work around this issue.
1st Method- Simply implement Paging within your datagrid to ensure that records never print past page 1.