Sure - although it might be far from a 'best practice' solution:

// grid code, get selectedIndex in change event and select row in dataBound event
// after navigating to next/previous page

change : function(e){
         var dataRows = grid.items();
         // index you get is 0 based hence add 1
         selectedIndex = dataRows.index(grid.select()) + 1;
}

dataBound: function(e){
     if(selectAfterLoad){
          selectAfterLoad = false;
           grid.select('tr:eq(' + selectedIndex + ')'); 
       }   
}

 // navigate to the next grid row
        nextRow = function () {
            // get current number of rows ...
            var numRows = grid.dataSource.pageSize();
            var numPages = grid.dataSource.totalPages();
            var currentPage = grid.dataSource.page();
            
            // already last row of current page then load next page and select first record in 
            // dataBound event
            if (selectedIndex == numRows) {                
                var nextPage = currentPage + 1;
                // not the last page yet - load the next page and select the first record after load
                if (nextPage <= numPages) {
                    grid.dataSource.page(nextPage);
                    selectedIndex = 1;
                    selectAfterLoad = true;
                }
            }
            else {
                // set next row index (1 based !!)
                selectedIndex = Math.min(selectedIndex + 1, numRows);
                grid.select('tr:eq(' + selectedIndex + ')'); 
            }            
        };

// navigate to previous row
previousRow = function () {
            // get current number of rows
            var numRows = grid.dataSource.pageSize();
            var currentPage = grid.dataSource.page();
            
            // already first row of current page then load previous page and select last record
            // in dataBound event
            if (selectedIndex == 1) {                
                var nextPage = currentPage-1;
                // not the last page yet - load the next page and select the last record after load
                if (nextPage > 0) {
                    grid.dataSource.page(nextPage);
                    selectedIndex = numRows;
                    selectAfterLoad = true;
                }
            }
            else {
                // set next row index (1 based !!)
                selectedIndex = Math.max(selectedIndex-1, 1);
                grid.select('tr:eq(' + selectedIndex + ')'); 
            } 
        };