Different ContextMenuStrip for DataGridView Cell, RowHeader and ColumnHeader

Use the DataGridView's MouseDown event to test if the right mouse has been clicked and if so use the associated HitTestInfo property to determine if a cell, row or column has been clicked. Use this information to display the ContextMenuStrip you need.

Here's an example MouseDown event that does this. To try the sample drop a DataGridView and three ContentMenuStrips on a form. Name the ContentMenuStrips mnuCell, mnuRow and mnuColumn.

Private Sub DataGridView1_MouseDown(ByVal sender As System.Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles DataGridView1.MouseDown
    If e.Button = Windows.Forms.MouseButtons.Right Then
        Dim ht As DataGridView.HitTestInfo
        ht = Me.DataGridView1.HitTest(e.X, e.Y)
        If ht.Type = DataGridViewHitTestType.Cell Then
            DataGridView1.ContextMenuStrip = mnuCell
            mnuCell.Items(0).Text = String.Format("This is the cell at {0}, {1}", ht.ColumnIndex, ht.RowIndex)
        ElseIf ht.Type = DataGridViewHitTestType.RowHeader Then
            DataGridView1.ContextMenuStrip = mnuRow
            mnuRow.Items(0).Text = "This is row " + ht.RowIndex.ToString()
        ElseIf ht.Type = DataGridViewHitTestType.ColumnHeader Then
            DataGridView1.ContextMenuStrip = mnuColumn 
            mnuColumn.Items(0).Text = "This is col " + ht.ColumnIndex.ToString()
        End If
    End If
End Sub

Here I'm assigning the DataGridView's ContextMenuStrip property to the ContextMenuStrip appropriate for the item right clicked (cell, row or column). To demonstrate how you might further customize the behavior of the ContextMenuStrips I'm also setting the text in each ContentMenuStrips' menu item.

On MouseDown event of DataGridView, use DataGridView.HitTest method to check what was clicked. Then you can switch context menus depending on what was clicked.