As described in this question it appears the minimum row height for a row in a DataGridView (WinForm not WPF) is 17 if you wish to display check boxes in a DataGridViewCheckBoxCell. Any smaller and the check box simply disappears!
Is there a way to place a smaller checkbox in a DataGridView cell?
If you are now using .NET 4.0, you can use the DataGridView.RowTemplate to adjust the minimum height.
For example,
However, as evidenced by this MSDN answer the minimum height for a row with check boxes is 17 pixels. It does not appear there is any way around this problem.