I've never worked with the DataGrid, but this is how I do it with the MSFlexGrid. Perhaps the code can be translated to fit your needs (at worst, your thread will get bumped up. Hopefully, someone will have a solution for the DataGrid.)
VB Code:
  1. With MSFlexGrid1
  2.    .Row = 2 ' any row
  3.    .Col = 0
  4.    .ColSel = .Cols - 1
  5. End With
  6. End Sub