[Cabanyaler]

Muchas gracias.
Funciona de maravilla.
Vamos un paso más allá.

Si ahora lo quiero hacer sobre las casillas de un TDBGrid???

He comprobado que.... es así :

Código Delphi [-]
unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, StdCtrls, Grids, DBGrids, DB, DBTables;

type
  TNSDBdbgrid = class(tdbgrid)
  private
    procedure WMGETDLGCODE(var Msg: TMessage); message WM_GETDLGCODE;
  end;



  TForm1 = class(TForm)
    DBGrid1: TDBGrid;
    DataSource1: TDataSource;
    Table1: TTable;
    Table1COD_ART: TStringField;
    Table1DES_ART: TStringField;
    procedure FormActivate(Sender: TObject);
    procedure DBGrid1KeyDown(Sender: TObject; var Key: Word;
      Shift: TShiftState);

  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TNSDBdbgrid.WMGETDLGCODE(var Msg: TMessage);
begin
  inherited;
  Msg.Result:= Msg.Result or DLGC_WANTTAB;
end;

procedure TForm1.FormActivate(Sender: TObject);
begin
    Table1.Open;
end;

procedure TForm1.DBGrid1KeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
   if Key = VK_TAB then ShowMessage('VK_TAB');
end;

end.

Gracias.