How can I disable that the user can select cells with the mouse?

Take a look at CGXGridParam::EnableSelection( )

You could for example call

   GetParam( )->EnableSelection(FALSE);

So, you can only select the current cell.

If you want to disable selecting full columns you can call

GetParam( )->EnableSelection((WORD) (GX_SELFULL & ~GX_SELCOL & ~GX_SELTABLE));

If you want to disable selecting cells only for specific columns, you can override CGXGridCore::OnStartSelection

virtual BOOL OnStartSelection(ROWCOL nRow, ROWCOL nCol, UINT flags, CPoint point);

and return FALSE if nRow, nCol point to a specific cell.