SoloCodigo

Uhmm creo que si entendi tu pregunte, prueba con esto a ver si te sirve.
Es en el evento del MouseDown de  tu datagrid...

Private Sub DataGrid1_MouseDown(Button As Integer, Shift As Integer, X As Single, Y As Single)
Dim Fila As Long
Dim Columna As Long
Fila = DataGrid1.RowContaining(Y)
Columna = DataGrid1.ColContaining(X)
MsgBox DataGrid1.Columns.Item(Columna).CellText(DataGrid1.GetBookmark(Fila))
End Sub



Saludos!!!