This isn't a responsibility of Flexigrid. This is your responsibility to retain some persistence of session with your users. You need some way to store the properties of your Flexigrid object (ie. current page, current search, current sort order, etc.) and then just retrieve this and refresh the page using those properties. When a user interacts with the Flexigrid object, you capture those changed properties, store them against something that relates them to the user itself (e.g. session, cookie, etc.) then execute the refresh on the object.
The web doesn't give you persistence - that's your responsibility. Use Flexigrid in the same light.