Yo utlizo este codigo:
Código vb:
Ver originalPrivate Sub Grid1_CellContentClick(ByVal sender As Object, ByVal e As System.Windows.Forms.DataGridViewCellEventArgs) Handles Grid1.CellContentClick
Me.textbox.Text = Me.Grid1.Rows(e.RowIndex).Cells(0).Value()
Me.textbox.Text = Me.Grid1.Rows(e.RowIndex).Cells(1).Value()
Saludos