You can override ProcessCmdKey, catch the Enter key, and swap it for a Tab key by sending a Tab, and not processing the Enter key.

public class CustomDataGrid : DataGrid
{
  protected override bool ProcessCmdKey( ref Message msg, Keys keyData )
  {
    if ( msg.WParam.ToInt32() == (int) Keys.Enter )
    {
      SendKeys.Send( "{Tab}" );
      return true;
    }
    return base.ProcessCmdKey( ref msg, keyData );
  }
}

Contributed from George Shepherd's Windows Forms FAQ