Hola puedes ver estos ejemplos y guiarte por ellos para crear un datagridview mediante código:
Public Class Form1
Private Sub Form1_Load(sender As Object, e As System.EventArgs) Handles Me.Load
Dim dgv As New DataGridView
Controls.Add(dgv)
dgv.Location = New Point(12, 12)
dgv.Size = New Size(250, 250)
Dim c As Integer = CInt(InputBox("How many columns", "Columns", "3"))
Dim r As Integer = CInt(InputBox("How many rows", "Rows", "3"))
For cc As Integer = 0 To c - 1
Dim nc As New DataGridViewTextBoxColumn
nc.Name = "Column" & cc.ToString
dgv.Columns.Add(nc)
Next
dgv.Rows.Add(r - 1)
Me.Controls.Add(dgv)
End Sub
End Class
Public Class DataGridViewTabPage
Inherits TabPage
Private _grid As New DataGridView
Public Sub New()
Me.New(Nothing)
End Sub
Public Sub New(ByVal text As String)
MyBase.New(text)
'Set properties of _grid here, e.g.
Me._grid.Dock = DockStyle.Fill
'Add the grid to the page.
Me.Controls.Add(Me._grid)
End Sub
End Class
Saludos!