>>Nope. Just tried it. If I'm in the last column of the grid, right arrow moves me to the last column of the next row. You must be using a subclass of VFP grid class which automatically selects first column when you change row.

Use the ActivateCell method combined with the ActiveRow and ActiveColumn properites of the grid. In the LostFocus of the control in the last column put THISFORM.mygrid.activatecell(THISFORM.mygrid.activerow + 1, 1).