Use
CellContentClick
[Edit]
Private Sub DataGridView1_CellContentClick(ByVal sender As System.Object, ByVal e As System.Windows.Forms.DataGridViewCellEventArgs) Handles DataGridView1.CellContentClick
MsgBox(DirectCast(sender, Forms.DataGridView).Rows(e.RowIndex).Cells(e.ColumnIndex).EditedFormattedValue)
End Sub