Thank Cetin
I was working with my partner and we developed the next code solving the bug.

PUT THIS CODE ON A GRID VALID
Because a bug on VFP 6.0. It admits that a grid looses focus with a FALSE on a
Column VALID
his code checks inside Grid.VALID the column.text.valid when clicks an object
Outside the grid.

COLOQUE ESTE CÓDIGO EN EL VALID DE LA GRILLA
Por defecto del VFP 6.0, el sistema permite que la grilla pierda el foco
con un valor incorrecto en un "VALID" de una columna.
Por lo tanto es nesesario chequear en el "VALID" de la grilla el "VALID" de
la columna cuando se da "CLICK" en un objeto fuera de la grilla.

========================
Local I
*Go through columns because there is not a function for knowing the original
*Column position
* Recorre todas las columnas, ya que no hay función para conocer la posición
* original de la columna.

For I = 1 To This.ColumnCount

* · It calls the column.text.valid method
* Por la columna que tiene el foco, se llama su método "VALID"

If This.Columns(I).ColumnOrder = This.ActiveColumn
Return Evaluate('This.Columns('+Str(I)+').' +;
This.Columns(I).CurrentControl + '.Valid()')
EndIf

EndFor
================================

>>I'm using VFP 6.0 on Windows 98
>>
>>I have a form with a one-column grid and a "Command Button"
>>
>>I wrote in the "form1.grid1.column1.text1.valid," RETURN .F.
>>On the "Command Button.Click" I wrote THISFORM.RELEASE()
>>
>>My problem is although the grid fires FALSE on it's Column.Text1.VALID, it looses focus and the form is released
>>Is it a Bug? Or what I can do?
>>
>>Thanks in advance
>It's a confirmed bug. You could trap it in grid valid. Create a custom class lHasHangingValidation and set it to .t. if a valid returning .f.
>In grid valid check that property.
>Cetin