If you are talking about the empty area inside the grid after rows then set AutoSizeColumnsMode property of grid to FILL. then columns will be auto sized to gridview width.
If you are talking about an empty cell then -
Private Sub DataGridView1_CellClick(ByVal sender As System.Object, ByVal e As System.Windows.Forms.DataGridViewCellEventArgs) Handles DataGridView1.CellClick
Dim MyVal As String = DataGridView1.Rows(e.RowIndex).Cells(e.ColumnIndex).Value.ToString
If String.IsNullOrWhiteSpace(MyVal) Then
MsgBox("You click on empty cell")
End If
End Sub