[Alejandro73]

Hola,

Yo utilice este codigo y funciona perfectamente, lo obtuve de la pagina de trucos delphi, ahi va

Código Delphi [-]
unit Unit1;

interface

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

type
  TForm1 = class(TForm)
    Table1: TTable;
    DataSource1: TDataSource;
    DBGrid1: TDBGrid;
  procedure FormCreate(Sender: TObject);
  private
    { Private declarations }
    procedure DBGrid1PillaLaRueda(var Message: TMessage);
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

type
  TomaInvento = class(TControl);

procedure TForm1.DBGrid1PillaLaRueda(var Message: TMessage);
var
  Cuanto : short;
begin
  if (Message.Msg = WM_MOUSEWHEEL) then begin
    Cuanto:=HIWORD(Message.WParam);
    Cuanto:=Cuanto div 120;
    DbGrid1.DataSource.DataSet.MoveBy(-Cuanto);
  end else TomaInvento(DBGrid1).WndProc(Message);
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  DBGrid1.WindowProc := DBGrid1PillaLaRueda;
end;

end.

espero te resulte, lo que esta destacado es to que tienes que agregar al formulario.

Buena Suerte

Alejandro
Chile