The code below which I found on MSN did not worked to automatically word-wrap a cell:
dataGridView.Columns[0].AutoSizeMode = DataGridViewAutoSizeColumnMode.D
You also need to set DataGridView.AutoSizeRowsMode = DataGridViewAutoSizeRowsMode.AllCells (along with what you have done) for word-wrap to work.
DataGridView.AutoSizeRowsMode = DataGridViewAutoSizeRowsMode.AllCells