I've done this with some help from the DataSet object.

    Private Sub DgRelac_CurrentCellChanged(ByVal sender As Object _
    , ByVal e As System.EventArgs) Handles DgRelac.CurrentCellChanged
        Dim nR As Integer
        Dim nC As Integer
        With Dg.CurrentCell
            nR = .RowNumber 
            nC = .ColumnNumber
        End With
        MessageBox.Show(Ds.Tables(0).Rows(nR)(nC))
    End Sub

In the following code:
Ds = the DataSet object
Dg = the DataGrid object
.tables(0); 0 is the table index, but you can use the table name instead if you want.

HtH