Derive a DataGrid. In your derived grid, add a handler for the VertScrollBar.VisibleChanged event. In your handler, if the scrollbar is not visible, size it and position it, and then show it. The code below assumes no horizontal scrollbar is necessary. If it is present, you would have to adjust the sizing code.

[C#]

public class CustomDataGrid : DataGrid
{
  public CustomDataGrid()
  {
    // make scrollbar visible & add handler
    VertScrollBar.Visible = true;
    VertScrollBar.VisibleChanged += new EventHandler( ShowScrollBars );
  }

  private const int CAPTIONHEIGHT = 21;
  private const int BORDERWIDTH = 2;

  private void ShowScrollBars( object sender, EventArgs e )
  {
    if ( !VertScrollBar.Visible )
    {
      int width = VertScrollBar.Width;
      VertScrollBar.Location =
        new Point( ClientRectangle.Width - width - BORDERWIDTH, CAPTIONHEIGHT );
      VertScrollBar.Size =
        new Size( width, ClientRectangle.Height - CAPTIONHEIGHT - BORDERWIDTH );
      VertScrollBar.Show();
    }
  }
}

[Visual Basic]

Public Class CustomDataGrid
  Inherits DataGrid

  Public Sub New()
    ' make scrollbar visible & add handler
    VertScrollBar.Visible = True
    AddHandler VertScrollBar.VisibleChanged, AddressOf ShowScrollBars
  End Sub

  Private ReadOnly CAPTIONHEIGHT As Integer = 21
  Private ReadOnly BORDERWIDTH As Integer = 2

  Private Sub ShowScrollBars(ByVal sender As Object, ByVal e As EventArgs)
    If Not VertScrollBar.Visible Then
      Dim width As Integer = VertScrollBar.Width
      VertScrollBar.Location = _
        New Point(ClientRectangle.Width - width - BORDERWIDTH, CAPTIONHEIGHT)
      VertScrollBar.Size = _
        New Size(width, ClientRectangle.Height - CAPTIONHEIGHT - BORDERWIDTH)
      VertScrollBar.Show()
    End If
  End Sub
End Class

Contributed from George Shepherd's Windows Forms FAQ