Hola KAYO, puedes utilizar el evento OnKeyPress del dbGrid.
Código Delphi
[-]
procedure TForm1.dbgridKeyPress(Sender: TObject; var Key: Char);
begin
if not(key in ['A'..'Z']) then
key := #0;
end;
procedure TForm1.dbgridKeyPress(Sender: TObject; var Key: Char);
begin
key := UpperCase(key)[1];
end;
Saluditos