Puede usar el evento de clic de celda de vista de cuadrícula de datos.
Private Sub MyDataGridView_CellClick(ByVal sender As Object, ByVal e As DataGridViewCellEventArgs) Handles MyDataGridView.CellClick
If MyDataGridView.Columns(e.ColumnIndex).HeaderText = "email" then
Dim selectedEMailCell As DataGridViewCell = MyDataGridView.Rows(e.RowIndex).Cells(e.ColumnIndex)
If selectedEMailCell.Value IsNot Nothing Then
System.Diagnostics.Process.Start("mailto:" & selectedEMailCell.Value.ToString)
End If
End If
End Sub