One way to implement this is to derive a DataGrid and override the virtual OnMouseDown, OnMouseMove and OnMouseUp methods. In your overrides, if the mousedown is on a row header, track the initial mousedown row, and as it moves, draw a line to indicate a target position. Then on the mouseup, handle moving the row.

You can download a sample (C#, VB) that illustrates how this might be done.

Contributed from George Shepherd's Windows Forms FAQ