เมื่อต้องการให้ SelectMode ทำได้ทั้งแถวและคอลัมน์ >>>DataGridView.RowHeaderMouseClick

Private Sub dataGridView1_ColumnHeaderMouseClick( _
  ByVal sender As Object, ByVal e As DataGridViewCellMouseEventArgs) _
  Handles dataGridView1.ColumnHeaderMouseClick

  Me.dataGridView1.SelectionMode = _
      DataGridViewSelectionMode.ColumnHeaderSelect
  Me.dataGridView1.Columns(e.ColumnIndex).HeaderCell _
      .SortGlyphDirection = SortOrder.None
  Me.dataGridView1.Columns(e.ColumnIndex).Selected = True

End Sub

Private Sub dataGridView1_RowHeaderMouseClick( _
  ByVal sender As Object, ByVal e As DataGridViewCellMouseEventArgs) _
  Handles dataGridView1.RowHeaderMouseClick

  Me.dataGridView1.SelectionMode = _
      DataGridViewSelectionMode.RowHeaderSelect
  Me.dataGridView1.Rows(e.RowIndex).Selected = True

End Sub

Credit: http://msdn.microsoft.com/en-us/library/system.windows.forms.datagridview.rowheadermouseclick.aspx