In a dbgrid loaded with sqlite I do it like this:
ShowMessage(inttostr(DBGrid1.DataSource.DataSet.RecNo)); // ROW
ShowMessage(inttostr(DBGrid1.SelectedIndex)); // COL
from the selected row get the value of the third column:
ShowMessage(DBGrid1.DataSource.DataSet.Fields[2].Value);
I hope it helps you friend, greetings