This example demonstrates how to customize the appearance of the selected rows using the SelectedItemStyle property. Below is a code extraction from the html of the page:

<SelectedItemStyle CssClass="SelectedItem"></SelectedItemStyle>

<style type="text/css">
.SelectedItem
{
background-image: url(img/SelectedRow.gif);
background-repeat: no-repeat;
background-position: top right;
}
</style>

The other option (when skin is applied for the control) is to alter directly the SelectedRow_[SkinName] class residing in the RadControls/Grid/Skins/[SkinName]/Styles.css file. This is how the aforementioned class look like for the Default grid skin:

.SelectedRow_Default td
{
background: #e5e5e5 !important;
height: 22px;
border: solid 1px #e5e5e5;
border-top: solid 1px #e9e9e9;
border-bottom: solid 1px white;
padding-left: 4px;
}

Additional details about how to modify the existing grid skins you can find in this article from the product online documentation:
Modify existing skins