Yes that's it, the 'selection' margin on the left hand side of the datagrid. In this 'margin' there is normally a black > indicatiing which row is selected. I think it's also known as the row header. It's a shame I can't post an image on this forum.
I can capture the mouse-up event when the user selects a new row, but what I can't seem to capture is the key-up (or down or press) event if the user naviagates up and down the datagrid using the up & down keys.
On another forum, someone suggested using the form key up/down event, but this doesn't seem to work for me either (unless of course I am coding this bit wrong which is entirely possible).