Christian,
The solution will not be an easy one. A grid only has one row in it at a time, the other rows are ghosts from the past. You will need to write code in the LostFocus of the column that 1) moves the record pointer in the underlying table and 2) setfocus to the appropriate column. You can approach this is a number of different ways. You could use the Keypress event of the textbox in the column detecting the movement keys and then doing the above. You could try using the LostFocus eent of the textbox, or the Valid of the textbox, etc. etc.
Whatever you choose you will be coding this yourself as it is contrary to the structure of a grid.