You can first databind to a set of records using a DataSet to allow expansion for the parent records. After expanding will fire the RowIslandsPopulating event and set e.Cancel to "true". This will allow a new set of data to display in the child grid.

To set the datasource of the child grid, create an instance of the ContainerGrid and add within the e.Row.RowIslands collection. After adding to the collection set the DataSource property and call DataBind().

An example of manual load on demand can also be found here: http://help.infragistics.com/NetAdvantage/ASPNET/2011.1/CLR4.0/?page=WebHierarchicalDataGrid_Load_On_Demand.html.