Yes you can only subscribe an delegate to an event.

UserDeletedRow is an event that accepts a DataGridViewRowEventHandler
UserDeletingRow is an event that accepts a
DataGridViewRowCancelEventHandler

Here's an example (using C# 3 syntax) that only allows delete on odd
rows; if the row index is even the delete is cancelled:

using System;
using System.Collections.Generic;
using System.Windows.Forms;
using System.ComponentModel;

class Foo
{
   public int Bar { get; set; }
   public int Bloop { get; set; }
}
static class Program
{
   [STAThread]
   static void Main()
   {
       Application.EnableVisualStyles();
       BindingList<Foo> foos = new BindingList<Foo>();
       for (int i = 0; i < 100; i++)
       {
           foos.Add(new Foo { Bar = i, Bloop = 200 - i });
       }
       DataGridView dgv = new DataGridView
       {
           Dock = DockStyle.Fill,
           DataSource = foos
       };
       dgv.UserDeletingRow += (sender, args) =>
       {
           args.Cancel = args.Row.Index % 2 == 0;
       };
       Application.Run(new Form
       {
           Controls = { dgv }
       });

   }
}