GridLine = False should work. (See Pramodh answer.) If not, you have something else wrong. If you setting this property in code, make sure the control's handle has been created. The method CreateControl and IsHandleCreated are helpful.
A common problem in C# that affects controls is accessing control properties in the form's constructor. Usually, the control handles are not created until they are "visible", which doesn't happen until the form is loaded. Therefore, if setting in form constructor, move to the Load event which is recommended by Microsoft.
Control..::.CreateControl Method
The CreateControl method forces a
handle to be created for the control
and its child controls. This method is
used when you need a handle
immediately for manipulation of the
control or its children; simply
calling a control's constructor does
not create the Handle.
CreateControl does not create a
control handle if the control's
Visible property is false. You can
either call the CreateHandle method or
access the Handle property to create
the control's handle regardless of the
control's visibility, but in this
case, no window handles are created
for the control's children.