The attached samples (C#, VB) have a derived datagrid that supports OLE D&D with any OLE D&D provider that handles a Text formatted data object. The derived grid handles six events to allow it to be both a drop source and a drop target. The sample project has two datagrids where you can drag cell text back and forth. You can also open Excel, and drag text between Excel and either datagrid.
Here are the events that are handled in this sample.