The mouse cursor has nothing to do with focus. I emphasised "FULL" and "CLEAR" for a reason. Do you want to do something when the mouse pointer enters a cell or when a cell receives focus?
That said, either way, you're going to be handling an event and putting code in the event handler. You should be able to look at the events available for the DataGridView
control for yourself and pick the right one to handle. Any events related to specific cells have names that begin with "Cell", so they're easy to identify.