This may help you. Add this code into a SelectionChanged handler for the DataGridView control. It isn't perfect, but it might get you on your way.
Point cellAddress = dgData.CurrentCellAddress;
Rectangle cell = dgData.GetCellDisplayRectangle(0, cellAddress.Y, false);
int x = Left + dgData.Left + cell.Left;
int y = Top + dgData.Top + cell.Y + (cell.Height * 2);
Cursor.Position = new Point(x,y);