1.install-package Microsoft.Xaml.Behaviors.Wpf;

2.xmlns:i="http://schemas.microsoft.com/xaml/behaviors";

3.

<DataGrid x:Name="dg" Grid.Row="0" ItemsSource="{Binding DataList,Mode=TwoWay,UpdateSourceTrigger=PropertyChanged}"
AutoGenerateColumns="False" SelectionMode="Extended"
Width="Auto" Height="Auto" HorizontalAlignment="Center" VerticalAlignment="Center">
<i:Interaction.Triggers>
<i:EventTrigger EventName="SelectionChanged">
<i:InvokeCommandAction Command="{Binding SelectionChangedCommand}" CommandParameter="{Binding ElementName=dg,Path=SelectedItems}"/>
</i:EventTrigger>
</i:Interaction.Triggers>

4.In MVVM,

private ObservableCollection<SalesOrderDetail> selectedItems;
public ObservableCollection<SalesOrderDetail> SelectedItems
{
get
{
return selectedItems;
}
set
{
if(value!=selectedItems)
{
selectedItems = value;
OnPropertyChanged("SelectedItems");
}
}
}

private DelegateCommand selectionChangedCommand;
public DelegateCommand SelectionChangedCommand
{
get
{
if(selectionChangedCommand==null)
{
selectionChangedCommand = new DelegateCommand(SelectionChangedCommandExecuted);
}
return selectionChangedCommand;
}
}

private void SelectionChangedCommandExecuted(object obj)
{
var selectedOrders=new List<SalesOrderDetail>((obj as IList).Cast<SalesOrderDetail>());
if(selectedOrders!=null && selectedOrders.Any())
{
SelectedItems = new ObservableCollection<SalesOrderDetail>(selectedOrders);
}
}