are you using a DataAdapter to update the database?
Generally you would simply get and set the value of the cell and use the ToUpperCase() in the string class to make the text/string uppercase, however this is untested:
this.theDataGridView.Rows[RowIndex].Cells[CellIndex].Value = this.theDataGridView.Rows[RowIndex].Cells[CellIndex].Value.ToString().ToUpperCase();
does this work?