Merge cells in datagridview

You’ll have to implement the OnPaint Event and do it yourself. An example is provided below.
You could also check out SourceGrid

Link is dead, so pulling the code from web cache:

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Text;
using System.Windows.Forms;
using System.Diagnostics;
using System.Drawing.Drawing2D;


namespace DataGridView_MergeDemo
{
    public class HMergedCell : DataGridViewTextBoxCell
    {
        private int m_nLeftColumn = 0;
        private int m_nRightColumn = 0;

        /// <summary>
        /// Column Index of the left-most cell to be merged.
        /// This cell controls the merged text.
        /// </summary>
        public int LeftColumn
        {
            get
            {
                return m_nLeftColumn;
            }
            set
            {
                m_nLeftColumn = value;
            }
        }

        /// <summary>
        /// Column Index of the right-most cell to be merged
        /// </summary>
        public int RightColumn
        {
            get
            {
                return m_nRightColumn;
            }
            set
            {
                m_nRightColumn = value;
            }
        }

        protected override void Paint(Graphics graphics, Rectangle clipBounds, Rectangle cellBounds, int rowIndex, DataGridViewElementStates cellState, object value, object formattedValue, string errorText, DataGridViewCellStyle cellStyle, DataGridViewAdvancedBorderStyle advancedBorderStyle, DataGridViewPaintParts paintParts)
        {
            try
            {
                int mergeindex = ColumnIndex - m_nLeftColumn;
                int i;
                int nWidth;
                int nWidthLeft;
                string strText;

                Pen pen = new Pen(Brushes.Black);

                // Draw the background
                graphics.FillRectangle(new SolidBrush(SystemColors.Control), cellBounds);

                // Draw the separator for rows
                graphics.DrawLine(new Pen(new SolidBrush(SystemColors.ControlDark)), cellBounds.Left, cellBounds.Bottom - 1, cellBounds.Right, cellBounds.Bottom - 1);

                // Draw the right vertical line for the cell
                if (ColumnIndex == m_nRightColumn)
                    graphics.DrawLine(new Pen(new SolidBrush(SystemColors.ControlDark)), cellBounds.Right - 1, cellBounds.Top, cellBounds.Right - 1, cellBounds.Bottom);

                // Draw the text
                RectangleF rectDest = RectangleF.Empty;
                StringFormat sf = new StringFormat();
                sf.Alignment = StringAlignment.Center;
                sf.LineAlignment = StringAlignment.Center;
                sf.Trimming = StringTrimming.EllipsisCharacter;

                // Determine the total width of the merged cell
                nWidth = 0;
                for (i = m_nLeftColumn; i <= m_nRightColumn; i++)
                    nWidth += this.OwningRow.Cells[i].Size.Width;

                // Determine the width before the current cell.
                nWidthLeft = 0;
                for (i = m_nLeftColumn; i < ColumnIndex; i++)
                    nWidthLeft += this.OwningRow.Cells[i].Size.Width;

                // Retrieve the text to be displayed
                strText = this.OwningRow.Cells[m_nLeftColumn].Value.ToString();

                rectDest = new RectangleF(cellBounds.Left - nWidthLeft, cellBounds.Top, nWidth, cellBounds.Height);
                graphics.DrawString(strText, new Font("Arial", 10, FontStyle.Regular), Brushes.Black, rectDest, sf);
            }
            catch (Exception ex)
            {
                Trace.WriteLine(ex.ToString());
            }
        }

    }// class
}

https://forums.codeguru.com/showthread.php?415930-DataGridView-Merging-Cells