Well, this is actually quite easy.
To get the X and Y of a Cell you just need to do something like:
grid.CurrentCell.ContentBounds.Location
or for the selected cell use:
grid.SelectedCells[0].ContentBounds.Location
And to convert that to screen coordinates do:
grid.PointToScreen(grid.CurrentCell.ContentBounds.Location)
mmm Well I found that
grid.GetCellDisplayRectangle(columnIndex, rowIndex, false) is a better alternative, because it will give you the Rectangle for the whole Cell