Override the method ProcessKeyPreview in the DataGrid.
protected override bool ProcessKeyPreview( ref Message m )
{
Keys keyCode = (Keys) (int) m.WParam & Keys.KeyCode;
if ( ( m.Msg == WM_KEYDOWN || m.Msg == WM_KEYUP )
&& keyCode == Keys.Enter )
return false;
return true;
}
Contributed from George Shepherd's Windows Forms FAQ