Assuming you are using Windows forms, you could allow the user to select a row and in the delete key click event. It is recommended that you allow the user to select 1 row only and not a group of rows (myDataGridView.MultiSelect = false)
Private Sub pbtnDelete_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnDelete.Click
If myDataGridView.SelectedRows.Count > 0 Then
'you may want to add a confirmation message, and if the user confirms delete
myDataGridView.Rows.Remove(myDataGridView.SelectedRows(0))
Else
MessageBox.Show("Select 1 row before you hit Delete")
End If
End Sub
Note that this will not delete the row form the database until you perform the delete in the database.