You can do this by deriving the TextBox, overriding the WndProc method and ignoring these mouse down messages.

[C#]

public class CustomTextBox : TextBox
{
  protected override void WndProc( ref Message m )
  {     // WM_NCLBUTTONDOWN WM_LBUTTONDOWN
    if ( !( ReadOnly && (m.Msg == 0xa1 || m.Msg == 0x201) ) )
      base.WndProc( ref m );
  }
}

[Visual Basic]

Public Class CustomTextBox
  Inherits TextBox
  Protected Overrides Sub WndProc(ByRef m As Message)
    ' WM_NCLBUTTONDOWN WM_LBUTTONDOWN
    If Not (Me.ReadOnly AndAlso (m.Msg = &HA1 OrElse m.Msg = &H201)) Then
      MyBase.WndProc(m)
    End If
  End Sub
End Class

Contributed from George Shepherd's Windows Forms FAQ