You can try this. Still use the ListBoxMode that Mark suggested, but do not handle CurrentCellActivating. Instead handle CurrentCellDrawn and paint the current cell there to match the rest of the selections.
private void gridDataBoundGrid1_CellDrawn(object sender, GridDrawCellEventArgs e)
{
GridCurrentCell cc = this.gridDataBoundGrid1.CurrentCell;
if(e.ColIndex == cc.ColIndex && e.RowIndex == cc.RowIndex)
{
using(SolidBrush br = new SolidBrush(this.gridDataBoundGrid1.AlphaBlendSelectionColor))
{
e.Graphics.FillRectangle(br, e.Bounds);
}
}
}