It may be you rearranged or add/delete columns to your grid previously. The gridName.Column1 does not necessary correspond to the first column you see on the screen, and so are the rest of the grid columns.

Do an explicit SetFocus() will solve this problem. For e.g., gridName.grcColumnName.txtActiveControlName.SetFocus() will set the focus the the column ColumnName if it is enabled, not readonly, and visible.