Pon el siguiente codigo en el evento KeyDown de tu Grid.
NOTA: Solo funcionara si el la property Options tienen RowSelect := TRUE.
Código Delphi
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procedure TDBGrid1.KeyDown(var Key: Word; Shift: TShiftState);
begin
if dgRowSelect in Options then
if Key in [VK_LEFT,VK_RIGHT] then
begin
if Key = VK_LEFTthen
if (ssCtrl in Shift) then Perform (WM_HSCROLL,SB_PAGELEFT,0)
else Perform(WM_HSCROLL,SB_LINELEFT,0);
if key = VK_RIGHT then
if (ssCtrl in Shift) then Perform(WM_HSCROLL,SB_PAGERIGHT,0)
else Perform(WM_HSCROLL,SB_LINERIGHT,0);
end;
Key:= 0;
end;
end;