Are you inquiring about the .NET Grid or the WPF DataGrid? I ask because you have added "xbap" to your tags, which is relevant to the WPF grid.
If you're in .NET, use the CurrentCellChanged event, and get the value of the CurrentCell in the event handler.
private void Form1_Load( object sender, EventArgs e )
gridControl1.CurrentCellChanged += new EventHandler( gridControl1_CurrentCellChanged );
void gridControl1_CurrentCellChanged( object sender, EventArgs e )
Debug.WriteLine( gridControl1.CurrentCell.Value.ToString() );
If you're in WPF, please repost your question on the WPF forums.
Xceed Software Inc.