This works...

Code:
Public Class Form1

    Private WithEvents dt As New DataTable

    Dim glbValue As String = "glbValue"

    Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        dt.Columns.Add("First")
        dt.Columns.Add("Second")
        dt.Rows.Add("test", "test")
        DataGridView1.DataSource = dt
    End Sub

    Private Sub dt_TableNewRow(ByVal sender As Object, ByVal e As System.Data.DataTableNewRowEventArgs) Handles dt.TableNewRow
        e.Row.Item("Second") = glbValue
    End Sub

End Class