Private Sub Grid_CellMouseDown(ByVal sender As Object, ByVal e As _
  System.Windows.Forms.DataGridViewCellMouseEventArgs) Handles _
  grid0.CellMouseDown, grid1.CellMouseDown, grid2.CellMouseDown
        Dim g As DataGridView = CType(sender, DataGridView)
 
        If e.Button = Windows.Forms.MouseButtons.Right Then
            If g.CurrentCell.ColumnIndex <> e.ColumnIndex Then _
              g.CurrentCell.Selected = False
 
            For i As Integer = 0 To g.Rows.Count - 1
                g.Rows(i).Cells(e.ColumnIndex).Selected = True
            Next
 
        End If
 
    End Sub

Gruss, Yuffie
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(VB.NET 2017)