void SelectedCellHandler(object sender, EventArgs e){
object value = ((DataGrid)sender).SelectedCell.Value;
Control newControl = new MyMagicUserControl(value);
}
and in the user control, accept the value as a constructor parameter and do whatever you want with it, e.g.
class MyMagicUserControl: UserControl {
public MyMagicUserControl(object value){
someTextBox.Text = value.ToString();
}
}