Add below code in page_load event of the page

ScriptManager scriptManager = ScriptManager.GetCurrent(this.Page);
scriptManager.RegisterPostBackControl([GridView's LinkButton ID]);

If the data is coming in a table say "Table1", then create a trigger on the table to get the data and create the message and put the data in table "Table2". Build a Windows Service which monitors the "Table2" row with some status (say open). Take data and send the email and update the status of the row (say Close or sent). Otherwise Please provide some more clarity on your question exactly what do you want to do?

Well,the answer is obviously "NO" as you can't take the OS level control of client. Why do you want to create folder on client machine? Please provide your requirement.