foreach (DataGridViewRow rw in this.dataGridView1.Rows)
{
for (int i = 0; i < rw.Cells.Count; i++)
{
if (rw.Cells[i].Value == null || rw.Cells[i].Value == DBNull.Value || String.IsNullOrWhiteSpace(rw.Cells[i].Value.ToString())
{
// here is your message box...
}
}
}