public partial class Form1 : Form
{
    public Form1()
    {
        DataSet ds = new DataSet();
        ds.ReadXml(new StringReader(@"
        <data>
            <item id='1' value='v1' />
            <item id='2' value='v2' />
            <item id='3' value='v3' />
        </data>"));

        DataGridView dgv = new DataGridView();
        dgv.Dock = DockStyle.Fill;
        dgv.DataSource = ds;
        dgv.DataMember = "item";
        dgv.Parent = this;

        dgv.CellContextMenuStripNeeded += new DataGridViewCellContextMenuStripNeededEventHandler(DataGridView_CellContextMenuStripNeeded);
    }

    void DataGridView_CellContextMenuStripNeeded(object sender, DataGridViewCellContextMenuStripNeededEventArgs e)
    {
        DataGridView dgv = (DataGridView)sender;
        DataGridViewCell cell = dgv[e.ColumnIndex, e.RowIndex];
        System.Diagnostics.Trace.WriteLine(cell + " " + cell.Value);
    }
}