The general problem is that when the cgridview is loaded the first time a jQuery function is called that attaches an event to the CHtml::ajaxLink(), but when yiiGridView(‘update’) updates the content of the gridview a new CHtml::ajaxLink() is displayed, but since the page is not reloaded the jQuery function to add the event is not triggered again. So there is now a link without an event to trigger.
Usually this is solved by using CGridView’s afterAjaxUpdate property that needs to call some jQuery function that does the same stuff that is done when the page is loaded.
Maurizio’s suggestion might fit your need better though.