Have you put your DataGrid on a Panel or some other container control, which would display its own scrollbars?
Also, you may not be aware because VS.NET 2003 let's you get away with it but you are not supposed to access controls created on one thread directly from another thread. You should be using delegates to marshall your method calls to the thread on which the controls were created. If and when you upgrade to VS 2005 it will enforce this. If you don't do it of your own accord now then you may get unexpected errors that are hard to debug. I suggest you check the help topic for the Control.Invoke method for more information.