I don't think there is a built in option for it but you can do it like this:

VB.Net Code:
  1. Private Sub DataGridView1_RowPostPaint(ByVal sender As System.Object, ByVal e As System.Windows.Forms.DataGridViewRowPostPaintEventArgs) Handles DataGridView1.RowPostPaint
  2.         e.Graphics.DrawString(e.RowIndex + 1, DataGridView1.Font, Brushes.Black, e.RowBounds.X + 15, e.RowBounds.Y + 5)
  3.     End Sub