You will need 3 things here 1) A checkbox that picks out the IDs using CCheckBoxColumn and then 2) Ajax call to pick out the data from it. Take a look at CHtml:AjaxButton for more. 3) A controller method to process the POST values sent via the Ajax call.
In your Gridview widget:
<?php $gridWidget = $this->widget('zii.widgets.grid.CGridView', array(
'id'=>'name-your-grid',
'dataProvider'=>$model->search(),
'filter'=>$model,
'columns'=>array(
array(
'class'=>'CCheckBoxColumn',
'id' => 'example-check-boxes',
'selectableRows'=>100 //Max Selectable number of rows
),
..... ?>
Later in your Admin view's AJAX call:
'data'=> 'js:{theIds : ($.fn.yiiGridView.getChecked("name-your-grid","example-check-boxes").toString())}',