Command in a CheckBox does not fired

I have a MVVM DataGrid, and one of its columns is a CheckBox. The CheckBox is bound to a Command.

XAML: Style="{DynamicResource
DGHeaderStyle}" Name="dgFullKeys" Height="300">




Command="{Binding CheckCommand, Mode=TwoWay}"
IsChecked="{Binding Path=IsSelected,
Mode=TwoWay}" />

I want that each check/uncheck will fire that Command. Unfortunatly, the Command does not fired. As an experiment I added a Button which is bound to the same command, and when I click the button – the Command is fired! What is wrong with the CheckBox? By the way, in order to have the Checkbox checked, I have to click it twice. Why?

Thanks