My own solution to this problem was to use George Shepherd's solution, but
use it with an extended datagrid.  My new datagrid looks like this:

Public Class DataGridEx

   Inherits DataGrid

   Protected Overrides Sub OnDataSourceChanged(ByVal e As System.EventArgs)

       MyBase.OnDataSourceChanged(e)

       ' This prevents the 'add new' row from ever appearing! woohoo!
       Try

           Dim cm As CurrencyManager =
CType(Me.BindingContext(Me.DataSource, _
                                       Me.DataMember), CurrencyManager)

           CType(cm.List, DataView).AllowNew = False

       Catch ex As Exception

           Console.WriteLine("ERROR in DataGridEx.OnDataSourceChanged - " &
_
                             ex.Message)

       End Try

   End Sub

End Class

The code I put in the OnDataSourceChanged() method prevents the 'add new'
line from appearing in the datagrid.  This way, I can leave the ReadOnly
property of the grid as "False" so that the "de-selection" bug with
Shepherd's solution doesn't occur.  It seems to work fine for my purposes.

- Don