myGrid.ShowCheckBoxes = true;
myGrid.VirtualMode = true;

[c#]
private ArrayList checkedIndexes = new ArrayList();
//Init FlyGrid
private void InitGrid(FlyGrid flyGrid)
{
  checkedIndexes.Clear();//clear list of checked nodes
  flyGrid.VirtualMode_InitNewNode += new InitNewNodeHandler(flyGrid_VirtualMode_InitNewNode);
  flyGrid.NodeCheckedChange += new NodeHandler(flyGrid_NodeCheckedChange);
//......contiinue initialization
}

private NodeBase flyGrid_VirtualMode_InitNewNode(object sender, NodeBase parent, int index)
{
  //create TreeViewNode that supports checkboxes
  NodeBase newNode = new TreeViewNode(parent);
  newNode.Checked = IsChecked(index);
}

private bool IsChecked(int index)
{
  //here you should answer on question - checked node at index or not.
  return checkedIndexes.Contains(index);
}

//monitor Checked state changes
private void flyGrid_NodeCheckedChange(object sender, NodeBase node)
{
  if (node.Checked)
    checkedIndexes.Add(node.Index);
  else
    checkedIndexes.Remove(node.Index);
}