Add a handler to the SelectedIndexChanged event of your GridView and insert the following code into this handler:
GridView1.SelectedRow.Focus();
or try this:
dataGridView1.ClearSelection();
int nRowIndex = dataGridView1.Rows.Count - 1;
dataGridView1.Rows[nRowIndex].Selected = true;
dataGridView1.Rows[nRowIndex].Cells[0].Selected = true;