If the DataGridView has been displayed when you bind it, you can call
ClearSelections() after you bind it. If you do the binding early in
the process of loading the form, the binding may be delayed and
calling ClearSelections() won't help because the first row will be
selected later when the binding occurs.
Sorting the grid by clicking on a column will also cause the first row
to be selected if no row was previously selected.