Don't manually edit the .designer files in visual studio that usually leads to headaches. Instead either specify it in the properties section of your DataGridRow which should be contained within a DataGrid element. Or if you just want VS to do it for you find the double click event within the properties page->events (little lightning bolt icon) and double click the text area where you would enter a function name for that event.
This link should help
http://msdn.microsoft.com/en-us/library/6w2tb12s(v=vs.90).aspx