[marcoszorrilla]

Mira este ejemplo, necesitas una rejilla conectado a un datasource con un campo del tipo Date, yo lo he hecho con DbDebmos - Orders.db y un DateTimePicker con la propiedad Visible actividad inicialmente.

Código Delphi [-]
  implementation
  
  {$R *.DFM}
  
  procedure TForm1.DBGrid1ColEnter(Sender: TObject);
  begin
    if DbGrid1.Columns [DbGrid1.SelectedIndex].
    Field = Table1Saledate   then
    DateTimePicker1.Visible := True
    else
    DateTimePicker1.Visible := False;
  end;
  
  procedure TForm1.DateTimePicker1Change(Sender: TObject);
  begin
  Table1.Edit;
  Table1Saledate.Value:=Trunc(DateTimePicker1.Date);
  end;
  
  procedure TForm1.DBGrid1DrawColumnCell(Sender: TObject; const Rect: TRect;
    DataCol: Integer; Column: TColumn; State: TGridDrawState);
  begin
    if (gdFocused in State) and
      (Column.Field = Table1Saledate) then
    begin
      DateTimePicker1.SetBounds (
        Rect.Left + DBGrid1.Left + 1,
        Rect.Top + DBGrid1.Top + 1,
        Rect.Right - Rect.Left,
        Rect.Bottom - Rect.Top);
  
    DateTimePicker1.Date:=Trunc(Table1Saledate.Value);
    end;
  end;

Un Saludo.