PERFETTO!!!!!!!!!!
Ho trovato!!!!!!!!
Funziona benissimo, guarda ho fatto in questo modo:

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Private Sub DataGrid1_MouseDown(ByVal sender As Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles DataGrid1.MouseDown
Dim col As Integer
Dim row As Integer
Dim ht As DataGrid.HitTestInfo
Dim ds As DataSet

Dim dap As OleDbDataAdapter = New OleDbDataAdapter("SELECT * FROM clienti", conn)
dap.TableMappings.Add("Table", "clienti")
ds = New DataSet()
dap.Fill(ds)
DataGrid1.DataSource = ds.Tables("clienti")



ht = DataGrid1.HitTest(e.X, e.Y)
col = ht.Column
row = ht.Row
Debug.WriteLine("Col=" & col.ToString & vbTab & "Row=" & row.ToString)
MessageBox.Show(col.ToString & row.ToString)
End Sub
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Solo una cosa, in quale modo posso fare una query della riga cliccata ???

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Dim sql As String = "SELECT * FROM Tabella WHERE id = " & ID & " "
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Come posso passargli quell'ID ???