Textbox validation code within a grid doesn't work when you click on an object outside the grid.

In my textbox.Valid event with the grid I validate the contents of the textbox. If the value is invalid I display a message and return 0 else I return 1.

If I enter an invalid value in the textbox then click on a different column in the grid my error message is displayed and the focus does not change. If I enter the same value then click on a field outside the grid, I get my error message but the focus changes to the field that I clicked on. The return 0 doesn't stop the focus from changing.

Any ideas?