DatagridView Column Double Click

I'm fairly new at working with datagrids and this problem is bugging the hell out of me. Can someone please lead me in the right direction as to how to prevent a user from double clicking a column header. The following code reflects what is supposed to happen when the user double clicks the grid,but i get a massive error when people double click on the column headers:

CellToDelete = dtgFE1.Rows[e.RowIndex].Cells[0].FormattedValue.ToString();

string Message = "Do you want to delete this record?";
string caption = "Notice";
DialogResult result;

result = MessageBox.Show(Message, caption, MessageBoxButtons.OKCancel, MessageBoxIcon.Information);
if (result == DialogResult.OK)
{
SystemDeleteRecord();
}
if (dtgFE1.DataSource != null)
{
dtgFE1.DataSource = RetrieveDataGridsData.GetFEData1();
dtgFE1.DataMember = "System";
}
else
{
MessageBox.Show("There are no more records associated with this call");
}

Any help would absutely be appreciated.

Thanks in advance.