Private Sub MyForm_CellValidating(ByVal sender As Object, ByVal e As DataGridViewCellValidatingEventArgs) Handles myDGV.CellValidating
    Dim dgv As DataGridView = CType(sender, DataGridView)
    Select Case dgv.Columns(e.ColumnIndex).Name
        Case "uniqueColumn"
            ' Validate that the values in our unique column are unique.
            For i As Integer = 0 To dgv.RowCount - 1
                If i <> e.RowIndex Then
                    ' Here i != j, so compare to the value...
                    If e.FormattedValue = dgv.Rows(i).Cells(e.ColumnIndex).FormattedValue Then
                        e.Cancel = True
                        'dgv.ShowRowErrors = True
                        'dgv.Rows(e.RowIndex).ErrorText = "Data in the unique column must be unique"
                    End If
                End If
            Next 'i
        Case Else
            ' Perform no validation.
    End Select

End Sub

e.Cancel = True