If you are using VS2010 then there should be a .NET 4.0 entry. If you are and there isn't an entry then you need to reinstall VS2010.
If you are using VS2008, which sounds likely form your comment, then it doesn't come with a WPF DataGrid. You can download the 'official' one from
here[
^]. There are links there to tutorials and lots of other good stuff as well as the
WPF Toolkit itself.
Good Luck. :)