Walkthrough: Handling Errors that Occur During Data Entry in the Windows Forms DataGridView Control 

using System;
using System.Data;
using System.Data.SqlClient;
using System.Windows.Forms;

public class Form1 : System.Windows.Forms.Form
{
    private DataGridView dataGridView1 = new DataGridView();
    private BindingSource bindingSource1 = new BindingSource();

    public Form1()
    {
        // Initialize the form.
        this.dataGridView1.Dock = DockStyle.Fill;
        this.Controls.Add(dataGridView1);
        this.Load += new EventHandler(Form1_Load);
    }
...    [STAThread]
    static void Main()
    {
        Application.EnableVisualStyles();
        Application.Run(new Form1());
    }

}

private static DataTable GetData(string selectCommand)
{
    string connectionString =
        "Integrated Security=SSPI;Persist Security Info=False;" +
        "Initial Catalog=Northwind;Data Source=localhost;Packet Size=4096";

    // Connect to the database and fill a data table, including the 
    // schema information that contains the CustomerID column 
    // constraint.
    SqlDataAdapter adapter =
        new SqlDataAdapter(selectCommand, connectionString);
    DataTable data = new DataTable();
    data.Locale = System.Globalization.CultureInfo.InvariantCulture;
    adapter.Fill(data);
    adapter.FillSchema(data, SchemaType.Source);

    return data;
}

private void Form1_Load(System.Object sender, System.EventArgs e)
{
    // Attach the DataError event to the corresponding event handler.
    this.dataGridView1.DataError +=
        new DataGridViewDataErrorEventHandler(dataGridView1_DataError);

    // Initialize the BindingSource and bind the DataGridView to it.
    bindingSource1.DataSource = GetData("select * from Customers");
    this.dataGridView1.DataSource = bindingSource1;
    this.dataGridView1.AutoResizeColumns(
        DataGridViewAutoSizeColumnsMode.AllCellsExceptHeader);
}

private void dataGridView1_DataError(object sender,
    DataGridViewDataErrorEventArgs e)
{
    // If the data source raises an exception when a cell value is 
    // commited, display an error message.
    if (e.Exception != null &&
        e.Context == DataGridViewDataErrorContexts.Commit)
    {
        MessageBox.Show("CustomerID value must be unique.");
    }
}