Uses
  Grids
procedure
TfrmPri.MudarComEnter(var Msg: TMsg; var Handled: Boolean);
begin
  If not ((Screen.ActiveControl is TCustomMemo)
or
  (Screen.ActiveControl is TCustomGrid) or
  (Screen.ActiveForm.ClassName = 'TMessageForm'))
then
  begin
  If Msg.message = WM_KEYDOWN then
  begin
  Case Msg.wParam of
  VK_RETURN,VK_DOWN :
Screen.ActiveForm.Perform(WM_NextDlgCtl,0,0);
  VK_UP :
Screen.ActiveForm.Perform(WM_NextDlgCtl,1,0);
  end;
  end;
  end;
end;
No evento
OnCreate o Form Principal digite a seguinte linha
Application.OnMessage := MudarComEnter;