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Any information about working with database (sqlserver) for validation, show multitable queries, updating multitable, etc.
Thanks.

The component is fully clientside and can't directly interact with server side code. 
Data reloading can be used to implement server side sorting|filtering 
http://dhtmlx.com/docs/products/dhtmlxGrid/doc/step-by-step/ch_biggrid.html#grid_sbs_biggrid

Pro version includes dataprocessor , which can be used for data saving. 
http://dhtmlx.com/docs/products/dhtmlxGrid/samples/dataprocessor/savedata_grid.html?un=1227523693000
http://dhtmlx.com/docs/products/dhtmlxGrid/doc/articles/Dataprocesor_usage.html#grid_art_dataprocessor