[marcoszorrilla]

Código Delphi [-]
procedure TfrFacturas.DbGrid1KeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin

if Key = vk_Return then
  begin
    if DbGrid1.SelectedIndex < Pred( DbGrid1.FieldCount ) then
        begin
        DbGrid1.SelectedIndex := DbGrid1.SelectedIndex + 1;
        end
        else
        begin
        DbGrid1.SelectedIndex := 0;
        //Flecha abajo es decir nuevo registro.
        DbGrid1.Perform( wm_KeyDown, vk_Down, 0 );
        end;
    end;
end;

Un Saludo.