You can set the ReadOnly propperty of the column to true.
private System.Windows.Forms.DataGridViewTextBoxColumn Column1;
private void Form1_Load(object sender, EventArgs e)
{
this.dataGridView1.Columns.AddRange(new System.Windows.Forms.DataGridViewColumn[] {
this.Column1});
this.Column1.HeaderText = "Column1";
this.Column1.Name = "Column1";
this.Column1.ReadOnly = true;
}