GridButtonColumn with the ButtonType

You should be either using a GridButtonColumn with the ButtonType set to ImageButton or a GridTemplateColumn with an ImageButton in its ItemTemplate. In either cases make sure that you have set the ImageUrl for the Buttoncolumn or ImageButton as shown in the example below:

telerik:GridButtonColumn ButtonType="ImageButton" CommandName="Select" ImageUrl="Images/Selected.gif" Text="Select" UniqueName="SelectColumn"> 
/telerik:GridButtonColumn>

Or

telerik:GridTemplateColumn UniqueName="SelectColumn2">
    ItemTemplate>
           asp:ImageButton ID="ImageButton1" ImageUrl="~/Images/Image1.gif" AlternateText="Select" runat="server" />
    /ItemTemplate>
/telerik:GridTemplateColumn>

 *** Edit, Delete buttons has default image in telerik. But select button we have to provide image