[ecfisa]

Hola.

Otra forma puede ser:

Código Delphi [-]
...
implementation
...
type
  DBGridExt = class(TDBGrid);

procedure TForm1.DBGridKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  with DBGridExt(TDBGrid(Sender)) do
    if (Key = VK_DOWN)and(Row = RowCount-1) then
      Abort
end;

Saludos.