If I understood correctly, you are trying to avoid showing ContextMenu
when clicked other than rows/cells on the DataGrid.
Use HitTestInfo & HitTestType to avoid this
http://groups.google.com/group/microsoft.public.dotnet.framework.compactframewor
k/browse_thread/thread/f710681c589afd04/f18fdd4e956a5763?lnk=gst&q=HitTestInfo+A
run+&rnum=1#f18fdd4e956a5763

On more about the context menu
http://groups.google.com/group/microsoft.public.dotnet.framework.compactframewor
k/search?group=microsoft.public.dotnet.framework.compactframework&q=context+menu
+in+datagrid&qt_g=Search+this+group

Hope this helps,
Cheers,
Arun
www.innasite.com