There are lot of answers regarding this task here on the StackOverflow and also else where. Here is one example how to import data from mysql database to datagridview.
But why are you trying to use CellContentClick? Do you want to load data when a cell is clicked? Be aware, this event will only work if you click cell's content, i.e. the text. If you miss the text (content), it won't be fired. For a [whole] cell click, use CellClick. But perhaps you're lost and want something absolutely different, like run it from a button. It's difficult to tell, if you don't provide enough information.