Files to look at:
This example demonstrates how to setup a grid so that it initially doesn't have a focused row. The focused row becomes highlighted once you click any.
If you want not to highlight the focused row at all, set the GridFocusedRowHighlightHelper.ShowIndicationOnFirstClick option to False. Note that you can manually toggle the focused row indication by using the GridFocusedRowHighlightHelper.SetFocusedRowIndication method.
The example for older versions demonstrates how to setup a grid so that it doesn't have a focused row at all.
See Also:
How to remove row selection highlighting when the GridControl loses focus