Private Sub Button3_Click(ByVal sender As System.Object, ByVal e As _
  System.EventArgs) Handles Button3.Click
        Dim dt As New DataTable("MyTable")
        Dim r As DataRow
        Dim ts As New DataGridTableStyle
        Dim cs As DataGridTextBoxColumn
        Dim txt As TextBox
        dt.Columns.Add("Column1")
        dt.Columns.Add("Column2")
        r = dt.NewRow()
        r(0) = "Test1"
        r(1) = "Test2"
        dt.Rows.Add(r)
        ts.MappingName = "MyTable"
        For Each c As DataColumn In dt.Columns
            cs = New DataGridTextBoxColumn
            cs.MappingName = c.ColumnName
            cs.Width = 100
            cs.HeaderText = c.ColumnName
            ts.GridColumnStyles.Add(cs)
            txt = cs.TextBox
            AddHandler txt.KeyDown, AddressOf Me.Column_KeyDown
        Next
        Me.DataGrid1.TableStyles.Add(ts)
        Me.DataGrid1.DataSource = dt
    End Sub
    Private Sub Column_KeyDown(ByVal sender As Object, ByVal e As _
      System.Windows.Forms.KeyEventArgs)
        MessageBox.Show(e.KeyCode.ToString)
    End Sub