R – .NET Compact Framework 3.5 on Windows Mobile 2003 SE

Use the Remote Performance Monitor that comes with Studio. It gives snapshots of the GC heap, traceable roots and much more.

According to the documentation: http://msdn.microsoft.com/en-us/library/system.windows.forms.datagridview.aspx

The DataGridView is not supported in CF, as it is not listed in the version information section at the bottom of the page.