You can catch the DataGrid.Scroll event and then use GetChildAtPoint to identify which scrolbar it is.
private void dataGrid1_Scroll(object sender, System.EventArgs e)
{
object o = this.dataGrid1.GetChildAtPoint(this.dataGrid1.PointToClient(Control.MousePosition));
VScrollBar vScroll = o as VScrollBar;
if(vScroll != null)
Console.WriteLine("VScroll");
else
Console.WriteLine("HScroll");
}