If your datagrid does not have a custom TableStyle associated with it, then there are two DataGrid properties that control the color and visibility of the gridlines.

DataGrid..GridLineColor
DataGrid.GridLineStyle

If you have a custom TableStyle. you need to set the color within the TableStyle. Here is code that makes the line color the same as the background color, and hence hides the gridlines. You can download a sample.

private void Form1_Load(object sender, System.EventArgs e)
{
// Set the connection and sql strings
// assumes your mdb file is in your root
string connString = @"Provider=Microsoft.JET.OLEDB.4.0;data source=C:\northwind.mdb";
string sqlString = "SELECT * FROM customers";
OleDbDataAdapter dataAdapter = null;
DataSet _dataSet = null;
try
{
// Connection object
OleDbConnection connection = new OleDbConnection(connString);
// Create data adapter object
dataAdapter = new OleDbDataAdapter(sqlString, connection);

// Create a dataset object and fill with data using data adapter's Fill method
_dataSet = new DataSet();
dataAdapter.Fill(_dataSet, "customers");
connection.Close();
}
catch(Exception ex)
{
MessageBox.Show("Problem with DB access-\n\n connection: "
+ connString + "\r\n\r\n query: " + sqlString
+ "\r\n\r\n\r\n" + ex.ToString());
this.Close();
return;
}
// Create a table style that will hold the new column style
// that we set and also tie it to our customer's table from our DB
DataGridTableStyle tableStyle = new DataGridTableStyle();
tableStyle.MappingName = "customers";
tableStyle.GridLineColor = dataGrid1.BackColor;

dataGrid1.TableStyles.Add(tableStyle);
dataGrid1.DataSource = _dataSet.Tables["customers"];
}

Contributed from George Shepherd's Windows Forms FAQ