Just to add more documentation on Mr. Beena Brashant code (that is perfectly fine).
chkSelect must be added in the form with the Visible property set to False, no Caption, and sized very small.
The code will work only on column 2, the select case in the Click event must be changed to handle other columns/rows.
The check box is shown at the left of the cell. Text in the grid must be right aligned, or left padded with spaces to avoid being covered by the check box when visible.
Scrolling the grid when the check box is visible will not fire the chkSelect_LostFocus event. Call chkSelect_LostFocus from the Grid_Scroll event.
My preference is to use a context menu instead of a check box, using PopupMenu from the grid mouse down event (but that is just a preference)