I haven't tested following solution further, but you can give it a try. It adds an AutoIncrement column to the DataTable.

Snippet code of OnInitializeDataSource event handler:

protected void WebGrid1_InitializeDataSource(object sender, ISNet.WebUI.WebGrid.DataSourceEventArgs e)
{
    OleDbCommand selectCommand = new OleDbCommand();
    selectCommand.Connection = con;
    selectCommand.CommandText = "SELECT * FROM Customers";

    OleDbDataAdapter da = new OleDbDataAdapter();
    da.SelectCommand = selectCommand;

    DataTable dt = new DataTable();

    dt.Columns.Add("RowNumber", typeof(int));
    dt.Columns[0].AutoIncrement = true;
    dt.Columns[0].AutoIncrementSeed = 1;
    dt.Columns[0].AutoIncrementStep = 1;

    da.Fill(dt);
    e.DataSource = dt;
}

WebGrid's column definition:

<ISWebGrid:WebGrid ID="WebGrid1" runat="server" Height="250px" UseDefaultStyle="True"
    Width="500px" RenderingMode="HTML5"
    OnInitializeDataSource="WebGrid1_InitializeDataSource">
    <RootTable DataKeyField="CustomerID">
        <Columns>
            <ISWebGrid:WebGridColumn Caption="Row Number" DataMember="RowNumber"
                Name="Row Number" Width="100px">
            </ISWebGrid:WebGridColumn>
            <ISWebGrid:WebGridColumn Caption="CustomerID" DataMember="CustomerID"
                Name="CustomerID" Width="100px">
            </ISWebGrid:WebGridColumn>
            <ISWebGrid:WebGridColumn Caption="CompanyName" DataMember="CompanyName"
                Name="CompanyName" Width="100px">
            </ISWebGrid:WebGridColumn>
            <ISWebGrid:WebGridColumn Caption="ContactName" DataMember="ContactName"
                Name="ContactName" Width="100px">
            </ISWebGrid:WebGridColumn>
            ...
        </Columns>
    </RootTable>
</ISWebGrid:WebGrid>

The result is: