I believe you need to change the color of the scroll bar isnt it?
Things you could do:
1: You can get hold of SB by accessing grid's Controls property, then try changing it's color. Not sure it would work though as grid might restore the color.
2: This problem is not easy as it seems to be, and I think a practical solution is to use skinned ScrollBars to replace the original ScrollBars.
Here is a sample of how to skin ScrollBars for Panels, and it should be similar to do the same thing in DataGridView.
http://www.codeproject.com/cs/miscctrl/customscrollbar.asp3: try
http://www.codeproject.com/Messages/3259958/Re-Changing-the-colour-of-scroll-bar.aspx