Private Sub dataGridView1_CellValidating(ByVal sender As Object, _
    ByVal e As DataGridViewCellValidatingEventArgs) _
    Handles dataGridView1.CellValidating

    Dim headerText As String = _
        dataGridView1.Columns(e.ColumnIndex).HeaderText

    ' Abort validation if cell is not in the CompanyName column.
    If Not headerText.Equals("CompanyName") Then Return

    ' Confirm that the cell is not empty.
    If (String.IsNullOrEmpty(e.FormattedValue.ToString())) Then
        dataGridView1.Rows(e.RowIndex).ErrorText = _
            "Company Name must not be empty"
        e.Cancel = True
    End If
End Sub

Private Sub dataGridView1_CellEndEdit(ByVal sender As Object, _
    ByVal e As System.Windows.Forms.DataGridViewCellEventArgs) _
    Handles dataGridView1.CellEndEdit

    ' Clear the row error in case the user presses ESC.   
    dataGridView1.Rows(e.RowIndex).ErrorText = String.Empty

End Sub