A simple method would be to set the column Readonly to true then use the code below
Code:
Private Sub CustomersDataGridView_SelectionChanged(sender As Object, e As EventArgs) Handles CustomersDataGridView.SelectionChanged
If CustomersDataGridView.Columns(CustomersDataGridView.CurrentCell.ColumnIndex).Name = "CompanyNameColumn" Then
CustomersDataGridView.CurrentCell.Selected = False
End If
End Sub
Replace CustomersDataGridView with the name of your DataGridView and replace CompanyNameColumn with the name of the column to have un-selectable.