You didn't say what binding are you using server or client. I will assume that you are using server side binding, because of the AutoPostBackOnFilter that you are using.
What you can do is as follows: during the PreRender of your page of your grid, save the grid.CurrentPageIndex
into the session
object or inside an asp:HiddenField. This way you will know what was the previous index.
Then on client closing of your window, you can update another HiddenField's value (or use the same field based on your code logic), to indicate that you need to change the index server side.
Then on Page_Load of your page or in the ItemCommand of your grid set grid.CurrentPageIndex
to the old value and then rebind the grid.
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