با استفاده از خاصیت SelectedRows میتونید اینکار رو به راحتی انجام بدهید
مثال MSDN
private void DataGridView1_UserDeletingRow(object sender,
DataGridViewRowCancelEventArgs e)
{
DataGridViewRow startingBalanceRow = DataGridView1.Rows[0];
// Check if the Starting Balance row is included in the selected rows
if (DataGridView1.SelectedRows.Contains(startingBalan ceRow))
{
// Do not allow the user to delete the Starting Balance row.
if (e.Row.Equals(startingBalanceRow))
{
MessageBox.Show("Cannot delete Starting Balance row!");
}
// Cancel the deletion if the Starting Balance row is included.
e.Cancel = true;
}
}