If you make sure your DataGrid is using a DataGridTableStyle, then you can access the TextBox through the GridColumnStyles collection and hook the event there. Here is some code.

[C#]

//in formload
this.dataGrid2.DataSource = this.dataSet11.Customers; // set the data source
//make sure grid has a tablestyle
DataGridTableStyle ts = new DataGridTableStyle();
ts.MappingName = this.dataSet11.Customers.TableName;
this.dataGrid2.TableStyles.Add(ts);
//now we can wire up wire up events for columns 1 and 4 ....
DataGridTextBoxColumn tbc = (DataGridTextBoxColumn)ts.GridColumnStyles[0];
tbc.TextBox.KeyPress += new KeyPressEventHandler(CellKeyPress);
tbc = (DataGridTextBoxColumn)ts.GridColumnStyles[3];
tbc.TextBox.KeyPress += new KeyPressEventHandler(CellKeyPress);

//the handler
private void CellKeyPress(object sender, KeyPressEventArgs e)
{
//don't allow 1's
if(e.KeyChar == '1')
e.Handled = true;
}

[Visual Basic]

 'in formload
Me.dataGrid2.DataSource = Me.dataSet11.Customers ' set the data source

'make sure grid has a tablestyle
Dim ts As New DataGridTableStyle()
ts.MappingName = Me.dataSet11.Customers.TableName
Me.dataGrid2.TableStyles.Add(ts)
'now we can wire up wire up events for columns 1 and 4 ....
Dim tbc as DataGridTextBoxColumn = _
        CType(ts.GridColumnStyles(0), DataGridTextBoxColumn)
AddHandler tbc.TextBox.KeyPress, AddressOf CellKeyPress
tbc = CType(ts.GridColumnStyles(3), DataGridTextBoxColumn)
AddHandler tbc.TextBox.KeyPress, AddressOf CellKeyPress

     'the handler
Private Sub CellKeyPress(sender As Object, e As KeyPressEventArgs)
'don't allow 1's
If e.KeyChar = "1"c Then
e.Handled = True
End If
End Sub 'CellKeyPress

Contributed from George Shepherd's Windows Forms FAQ