[ecfisa]

Hola santiago14.

Código Delphi [-]
...
var
  OldKeyValue: string;

procedure TForm1.DBLookupComboBox1Enter(Sender: TObject);
begin
  OldKeyValue:= VarToStr(DBLookupComboBox1.KeyValue);
end;

procedure TForm1.DBLookupComboBox1Click(Sender: TObject);
begin
  if MessageBox(Handle,'¿ Desea cambiar de ítem ?','',MB_ICONQUESTION+MB_YESNO) = IDNO then
    DBLookupComboBox1.KeyValue:= OldKeyValue
  else
    OldKeyValue:= VarToStr(DBLookupComboBox1.KeyValue);
end;
...

Saludos